CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

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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
mwindow	36
αARCH	0.0864	6.51***
βGARCH	0.7597	31.95***
γleverage	0.0785	3.77***
λ₁tau intercept	0.0173	2.18**
λ₂forecast adj.	0.0280	2.96***
λ₃tau persistence	0.9651	81.24***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0864	6.51***
β GARCH Volatility persistence	0.7597	31.95***
γ leverage Additional response to negative shocks	0.0785	3.77***
λ₁ tau intercept Baseline long-term coefficient	0.0173	2.18**
λ₂ forecast adj. Forecast performance sensitivity	0.0280	2.96***
λ₃ tau persistence Long-term factor persistence	0.9651	81.24***

V-Lab

Klepierre MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Klepierre Analyses