CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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
mwindow	51
αARCH	0.0550	4.12***
βGARCH	0.8362	48.10***
γleverage	0.0753	2.62***
λ₁tau intercept	0.0130	1.47
λ₂forecast adj.	0.0109	1.40
λ₃tau persistence	0.9871	109.10***

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0550	4.12***
β GARCH Volatility persistence	0.8362	48.10***
γ leverage Additional response to negative shocks	0.0753	2.62***
λ₁ tau intercept Baseline long-term coefficient	0.0130	1.47
λ₂ forecast adj. Forecast performance sensitivity	0.0109	1.40
λ₃ tau persistence Long-term factor persistence	0.9871	109.10***

V-Lab

Leonardo SpA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Leonardo SpA Analyses