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	0.0314	8.01***
αARCH	0.0731	8.26***
βGARCH	0.9172	117.50***
γleverage	0.8173	6.97***
δpower	1.0420	10.66***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0314	8.01***
α ARCH Response to squared shocks	0.0731	8.26***
β GARCH Volatility persistence	0.9172	117.50***
γ leverage Additional response to negative shocks	0.8173	6.97***
δ power Transformation power	1.0420	10.66***

V-Lab

CAC 40 Index APARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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