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	1,298.4545	1.20
αARCH	0.3121	17.31***
βGARCH	0.9881	109.41***
νDF	2.3312	21.53***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1,298.4545	1.20
α ARCH Response to squared shocks	0.3121	17.31***
β GARCH Volatility persistence	0.9881	109.41***
ν DF Student-t tail thickness	2.3312	21.53***

V-Lab

G-Devs SA GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other G-Devs SA Analyses