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

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	2.9754	2.73***
αARCH	0.0918	3.45***
βGARCH	0.9353	32.65***
νDF	6.4456	0.75

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.9754	2.73***
α ARCH Response to squared shocks	0.0918	3.45***
β GARCH Volatility persistence	0.9353	32.65***
ν DF Student-t tail thickness	6.4456	0.75

V-Lab

Cellnex Telecom SAU GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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