CBOE EFA ETF 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	1.5073	8.31***
αARCH	0.1058	9.08***
βGARCH	0.8704	74.60***

γ₁	0.0312	5.92***
γ₂	-0.0479	-5.39***
γ₃	0.0240	2.51**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5073	8.31***
α ARCH Response to squared shocks	0.1058	9.08***
β GARCH Volatility persistence	0.8704	74.60***

γ₁	0.0312	5.92***
γ₂	-0.0479	-5.39***
γ₃	0.0240	2.51**

V-Lab

FTSE MIB Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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