CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

CBOE Emerging Market Markets 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	51
αARCH	0.0622	3.65***
βGARCH	0.8225	20.44***
γleverage	0.0551	2.31**
λ₁tau intercept	0.0258	1.23
λ₂forecast adj.	0.0157	1.87*
λ₃tau persistence	0.9791	86.96***

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0622	3.65***
β GARCH Volatility persistence	0.8225	20.44***
γ leverage Additional response to negative shocks	0.0551	2.31**
λ₁ tau intercept Baseline long-term coefficient	0.0258	1.23
λ₂ forecast adj. Forecast performance sensitivity	0.0157	1.87*
λ₃ tau persistence Long-term factor persistence	0.9791	86.96***

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Amrest Holdings Se MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Amrest Holdings Se Analyses