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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Param	Value	t-stat
ωconst	1.3909	6.47***
αARCH	0.1536	6.67***
βGARCH	0.4815	6.40***

γ₁	-0.0455	-1.17
γ₂	0.0281	0.47
γ₃	0.0793	1.98**
γ₄	-0.0677	-1.77*
γ₅	-0.0590	-1.31
γ₆	0.1575	4.35***
γ₇	-0.1413	-4.99***
γ₈	0.0527	2.07**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3909	6.47***
α ARCH Response to squared shocks	0.1536	6.67***
β GARCH Volatility persistence	0.4815	6.40***

γ₁	-0.0455	-1.17
γ₂	0.0281	0.47
γ₃	0.0793	1.98**
γ₄	-0.0677	-1.77*
γ₅	-0.0590	-1.31
γ₆	0.1575	4.35***
γ₇	-0.1413	-4.99***
γ₈	0.0527	2.07**

V-Lab

Hexagon Composites Asa Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hexagon Composites Asa Analyses