CBOE EFA ETF 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	0.0393	9.53***
αARCH	0.1827	18.92***
βGARCH	0.7972	76.16***
γleverage	0.2664	11.18***
δpower	0.9466	7.69***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0393	9.53***
α ARCH Response to squared shocks	0.1827	18.92***
β GARCH Volatility persistence	0.7972	76.16***
γ leverage Additional response to negative shocks	0.2664	11.18***
δ power Transformation power	0.9466	7.69***

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CAC 40 Index Asy. Power MEM Volatility Analysis

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