CBOE EFA ETF 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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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0876	1.89*
β GARCH Volatility persistence	0.1165	0.77
γ leverage Additional response to negative shocks	0.1877	1.38
λ₁ tau intercept Baseline long-term coefficient	4.3794	1.19
λ₂ forecast adj. Forecast performance sensitivity	0.4277	1.17
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Gvs S P A MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gvs S P A Analyses