SMI Volatility Index

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
ωlong-run	168.8983	1.39
αscore	0.0941	31.15***
βpersistence	0.9956	333.53***
νDF	2.0794	377.11***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	168.8983	1.39
α score Weight on the scaled score	0.0941	31.15***
β persistence Volatility persistence	0.9956	333.53***
ν DF Student-t tail thickness	2.0794	377.11***

V-Lab

Centiel AG GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Centiel AG Analyses