CBOE Emerging Market Markets Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	1.0806	3.08***
αARCH	0.1446	8.27***
βGARCH	0.7948	36.91***

γ₁	0.1014	2.73***
γ₂	-0.1805	-3.60***
γ₃	0.1318	5.05***
γ₄	-0.0895	-4.41***
γ₅	0.0504	2.83***
γ₆	-0.0070	-0.40
γ₇	-0.0300	-0.96

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0806	3.08***
α ARCH Response to squared shocks	0.1446	8.27***
β GARCH Volatility persistence	0.7948	36.91***

γ₁	0.1014	2.73***
γ₂	-0.1805	-3.60***
γ₃	0.1318	5.05***
γ₄	-0.0895	-4.41***
γ₅	0.0504	2.83***
γ₆	-0.0070	-0.40
γ₇	-0.0300	-0.96

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