CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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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	6.2359	1.39
αARCH	0.0615	7.95***
βGARCH	0.9877	111.96***
νDF	4.8397	2.45**

Parameter	Value	t-statistic
ω const Unconditional variance weight	6.2359	1.39
α ARCH Response to squared shocks	0.0615	7.95***
β GARCH Volatility persistence	0.9877	111.96***
ν DF Student-t tail thickness	4.8397	2.45**

V-Lab

Leonardo SpA GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Leonardo SpA Analyses