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	1.7462	5.46***
αARCH	0.1692	3.87***
βGARCH	0.4326	2.90***

γ₁	1.4494	0.44
γ₂	0.8197	0.16
γ₃	-7.4494	-1.73*
γ₄	13.6562	1.91*
γ₅	-15.9018	-1.49
γ₆	11.7271	1.21
γ₇	-6.4013	-1.22
γ₈	2.7614	1.11

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7462	5.46***
α ARCH Response to squared shocks	0.1692	3.87***
β GARCH Volatility persistence	0.4326	2.90***

γ₁	1.4494	0.44
γ₂	0.8197	0.16
γ₃	-7.4494	-1.73*
γ₄	13.6562	1.91*
γ₅	-15.9018	-1.49
γ₆	11.7271	1.21
γ₇	-6.4013	-1.22
γ₈	2.7614	1.11

V-Lab

EYG Gayrimenkul Yatirim Orta Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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