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
ωconst	0.0361	8.05***
αARCH	0.0858	6.26***
βGARCH	0.9021	93.56***
γleverage	0.5348	5.09***
δpower	1.2556	9.64***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0361	8.05***
α ARCH Response to squared shocks	0.0858	6.26***
β GARCH Volatility persistence	0.9021	93.56***
γ leverage Additional response to negative shocks	0.5348	5.09***
δ power Transformation power	1.2556	9.64***

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IBEX 35 Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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