FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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How volatility evolves over time

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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
ωlong-run	141.6933	0.56
αscore	0.2146	2.47**
βpersistence	0.8653	3.79***
νDF	2.3122	4.87***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	141.6933	0.56
α score Weight on the scaled score	0.2146	2.47**
β persistence Volatility persistence	0.8653	3.79***
ν DF Student-t tail thickness	2.3122	4.87***

V-Lab

Energys Group Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Energys Group Ltd Analyses