CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.1175	3.30***
αARCH	0.0000	0.00
βGARCH	0.9649	13.60***

γ₁	1.7454	2.83***
γ₂	-3.3284	-3.83***
γ₃	2.8612	3.31***
γ₄	-1.7599	-1.62
γ₅	0.5769	0.58
γ₆	-0.1758	-0.28

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1175	3.30***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9649	13.60***

γ₁	1.7454	2.83***
γ₂	-3.3284	-3.83***
γ₃	2.8612	3.31***
γ₄	-1.7599	-1.62
γ₅	0.5769	0.58
γ₆	-0.1758	-0.28

V-Lab

Christian Dior SE Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Christian Dior SE Analyses