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	0.7938	3.95***
αARCH	0.1013	8.84***
βGARCH	0.8417	50.33***

γ₁	-0.0301	-0.80
γ₂	0.0770	1.43
γ₃	-0.0990	-3.25***
γ₄	0.0974	4.15***
γ₅	-0.0834	-3.93***
γ₆	0.0577	2.46**
γ₇	-0.0044	-0.17
γ₈	-0.0338	-1.62

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7938	3.95***
α ARCH Response to squared shocks	0.1013	8.84***
β GARCH Volatility persistence	0.8417	50.33***

γ₁	-0.0301	-0.80
γ₂	0.0770	1.43
γ₃	-0.0990	-3.25***
γ₄	0.0974	4.15***
γ₅	-0.0834	-3.93***
γ₆	0.0577	2.46**
γ₇	-0.0044	-0.17
γ₈	-0.0338	-1.62

V-Lab

OMX Copenhagen 20 Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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