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	1.7606	2.19**
αARCH	0.0871	8.72***
βGARCH	0.9851	133.09***
νDF	8.0762	1.47

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7606	2.19**
α ARCH Response to squared shocks	0.0871	8.72***
β GARCH Volatility persistence	0.9851	133.09***
ν DF Student-t tail thickness	8.0762	1.47

V-Lab

IBEX 35 Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other IBEX 35 Index Analyses