CBOE Emerging Market Markets Volatility Index

EURO STOXX 50 Volatility Index

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{name} Model Equation

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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	60.3427	0.70
αARCH	0.2194	1.26
βGARCH	0.9566	10.49***
νDF	200.0000	0.02

Parameter	Value	t-statistic
ω const Unconditional variance weight	60.3427	0.70
α ARCH Response to squared shocks	0.2194	1.26
β GARCH Volatility persistence	0.9566	10.49***
ν DF Student-t tail thickness	200.0000	0.02

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Empa Elektronik Sanayi VE Ticaret AS GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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