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
mwindow	31
αARCH	0.0419	2.08**
βGARCH	0.7451	13.09***
γleverage	0.1060	3.63***
λ₁tau intercept	1.2925	1.73*
λ₂forecast adj.	0.5657	2.02**
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0419	2.08**
β GARCH Volatility persistence	0.7451	13.09***
γ leverage Additional response to negative shocks	0.1060	3.63***
λ₁ tau intercept Baseline long-term coefficient	1.2925	1.73*
λ₂ forecast adj. Forecast performance sensitivity	0.5657	2.02**
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Cellnex Telecom SAU MF2-GARCH Volatility Analysis

Date Range:

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