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	5.0000	2.23**
αARCH	0.5208	1.74*
βGARCH	0.4777	4.45***
γleverage	0.0030	0.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	2.23**
α ARCH Response to squared shocks	0.5208	1.74*
β GARCH Volatility persistence	0.4777	4.45***
γ leverage Additional response to negative shocks	0.0030	0.01

V-Lab

G-Devs SA GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other G-Devs SA Analyses