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
ωconst	0.5721	6.84***
αARCH	0.1165	5.41***
βGARCH	0.7669	16.01***

γ₁	-0.1904	-4.92***
γ₂	0.2413	4.22***
γ₃	-0.0549	-1.38
γ₄	0.0395	1.04
γ₅	-0.0984	-2.95***
γ₆	0.0933	4.11***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5721	6.84***
α ARCH Response to squared shocks	0.1165	5.41***
β GARCH Volatility persistence	0.7669	16.01***

γ₁	-0.1904	-4.92***
γ₂	0.2413	4.22***
γ₃	-0.0549	-1.38
γ₄	0.0395	1.04
γ₅	-0.0984	-2.95***
γ₆	0.0933	4.11***

V-Lab

Amrest Holdings Se Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Amrest Holdings Se Analyses