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	3.3718	1.40
αARCH	0.2528	1.24
βGARCH	0.7240	7.21***
γleverage	-0.1381	-0.52

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.3718	1.40
α ARCH Response to squared shocks	0.2528	1.24
β GARCH Volatility persistence	0.7240	7.21***
γ leverage Additional response to negative shocks	-0.1381	-0.52

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Empa Elektronik Sanayi VE Ticaret AS GJR-GARCH Volatility Analysis

Date Range:

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