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	0.7677	3.71***
αARCH	0.1016	8.88***
βGARCH	0.8417	50.72***

γ₁	-0.0404	-1.05
γ₂	0.0940	1.72*
γ₃	-0.1111	-3.71***
γ₄	0.1069	4.62***
γ₅	-0.0910	-4.29***
γ₆	0.0636	2.64***
γ₇	-0.0087	-0.30
γ₈	-0.0301	-0.80

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7677	3.71***
α ARCH Response to squared shocks	0.1016	8.88***
β GARCH Volatility persistence	0.8417	50.72***

γ₁	-0.0404	-1.05
γ₂	0.0940	1.72*
γ₃	-0.1111	-3.71***
γ₄	0.1069	4.62***
γ₅	-0.0910	-4.29***
γ₆	0.0636	2.64***
γ₇	-0.0087	-0.30
γ₈	-0.0301	-0.80

V-Lab

OMX Copenhagen 20 Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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