CBOE Emerging Market Markets Volatility Index

EURO STOXX 50 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
αARCH	0.0000	0.00
βGARCH	0.6104	44.42***
γleverage	0.3895	33.66***
λ₁tau intercept	47.2221

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.6104	44.42***
γ leverage Additional response to negative shocks	0.3895	33.66***
λ₁ tau intercept Baseline long-term coefficient	47.2221

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Empa Elektronik Sanayi VE Ticaret AS MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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