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
ωconst	1.8890	1.63
αARCH	0.1616	1.52
βGARCH	0.7634	8.72***
γleverage	-0.1214	-1.08

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8890	1.63
α ARCH Response to squared shocks	0.1616	1.52
β GARCH Volatility persistence	0.7634	8.72***
γ leverage Additional response to negative shocks	-0.1214	-1.08

V-Lab

EYG Gayrimenkul Yatirim Orta GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other EYG Gayrimenkul Yatirim Orta Analyses