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	47.5536
αARCH	0.3564
βGARCH	0.5754

γ₁	-2.7494
γ₂	19.5702
γ₃	-43.1085
γ₄	50.7323
γ₅	-40.0011
γ₆	22.5702
γ₇	54.2198
γ₈	-250.7140
γ₉	320.7213

Parameter	Value	t-statistic
ω const Unconditional variance weight	47.5536
α ARCH Response to squared shocks	0.3564
β GARCH Volatility persistence	0.5754

γ₁	-2.7494
γ₂	19.5702
γ₃	-43.1085
γ₄	50.7323
γ₅	-40.0011
γ₆	22.5702
γ₇	54.2198
γ₈	-250.7140
γ₉	320.7213

V-Lab

Gazprom PAO Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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