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	46.9194
αARCH	0.2771
βGARCH	0.5636

γ₁	0.0719
γ₂	-16.3793
γ₃	54.1377
γ₄	-114.4793

Parameter	Value	t-statistic
ω const Unconditional variance weight	46.9194
α ARCH Response to squared shocks	0.2771
β GARCH Volatility persistence	0.5636

γ₁	0.0719
γ₂	-16.3793
γ₃	54.1377
γ₄	-114.4793

V-Lab

Gazprom PAO Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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