CBOE Emerging Market Markets 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

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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	1.0000	0.51
αARCH	0.1496	2.40**
βGARCH	0.7725	8.51***
γleverage	-0.2517	-1.41
δpower	1.3217	1.21

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	0.51
α ARCH Response to squared shocks	0.1496	2.40**
β GARCH Volatility persistence	0.7725	8.51***
γ leverage Additional response to negative shocks	-0.2517	-1.41
δ power Transformation power	1.3217	1.21

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