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	0.8711	5.35***
αARCH	0.1106	9.08***
βGARCH	0.8488	72.90***

γ₁	-0.0395	-1.15
γ₂	0.0838	1.42
γ₃	-0.1123	-2.64***
γ₄	0.1554	5.15***
γ₅	-0.1605	-6.47***
γ₆	0.0992	3.66***
γ₇	-0.0264	-0.94
γ₈	-0.0047	-0.13

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8711	5.35***
α ARCH Response to squared shocks	0.1106	9.08***
β GARCH Volatility persistence	0.8488	72.90***

γ₁	-0.0395	-1.15
γ₂	0.0838	1.42
γ₃	-0.1123	-2.64***
γ₄	0.1554	5.15***
γ₅	-0.1605	-6.47***
γ₆	0.0992	3.66***
γ₇	-0.0264	-0.94
γ₈	-0.0047	-0.13

V-Lab

IBEX 35 Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other IBEX 35 Index Analyses