CBOE EFA ETF 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
mwindow	46
αARCH	0.0903	1.95*
βGARCH	0.1182	0.79
γleverage	0.1884	1.39
λ₁tau intercept	4.2080	1.24
λ₂forecast adj.	0.4443	1.23
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0903	1.95*
β GARCH Volatility persistence	0.1182	0.79
γ leverage Additional response to negative shocks	0.1884	1.39
λ₁ tau intercept Baseline long-term coefficient	4.2080	1.24
λ₂ forecast adj. Forecast performance sensitivity	0.4443	1.23
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Gvs S P A MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gvs S P A Analyses