CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

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{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	1.4073	4.96***
αARCH	0.0000	0.00
βGARCH	0.5058	0.41

γ₁	2.2795	3.67***
γ₂	-3.9697	-4.18***
γ₃	2.9496	3.06***
γ₄	-1.6199	-1.37
γ₅	0.2547	0.25
γ₆	0.1444	0.26

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4073	4.96***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.5058	0.41

γ₁	2.2795	3.67***
γ₂	-3.9697	-4.18***
γ₃	2.9496	3.06***
γ₄	-1.6199	-1.37
γ₅	0.2547	0.25
γ₆	0.1444	0.26

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