CBOE Emerging Market Markets Volatility Index

EURO STOXX 50 Volatility Index

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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
ωconst	0.3774	1.76*
αARCH	0.3264	2.82***
βGARCH	0.8855	14.61***
γleverage	0.0893	0.78

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3774	1.76*
α ARCH Response to squared shocks	0.3264	2.82***
β GARCH Volatility persistence	0.8855	14.61***
γ leverage Additional response to negative shocks	0.0893	0.78

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Empa Elektronik Sanayi VE Ticaret AS EGARCH Volatility Analysis

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