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	0.0000	0.06
αARCH	0.0564	0.60
βGARCH	0.9436	8.65***
γleverage	0.0167	0.02
δpower	0.5000	0.47

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0000	0.06
α ARCH Response to squared shocks	0.0564	0.60
β GARCH Volatility persistence	0.9436	8.65***
γ leverage Additional response to negative shocks	0.0167	0.02
δ power Transformation power	0.5000	0.47

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Gazprom PAO APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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