CBOE Emerging Market Markets Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

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{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
αARCH	0.4864	3.82***
βGARCH	0.0000	0.00
γleverage	0.1025	0.39
λ₁tau intercept	49.5461

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.4864	3.82***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.1025	0.39
λ₁ tau intercept Baseline long-term coefficient	49.5461

V-Lab

G-Devs SA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other G-Devs SA Analyses