DAX Volatility Index

CBOE EFA ETF Volatility Index

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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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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0396	1.97**
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.2376	2.87***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.1098	9.06***
λ₃ tau persistence Long-term factor persistence	0.8742	36.15***

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Samhallsbygg I Nor MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Samhallsbygg I Nor Analyses