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	0.0318	8.02***
αARCH	0.0918	7.84***
βGARCH	0.9047	100.27***
γleverage	0.5860	5.24***
δpower	1.1399	9.41***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0318	8.02***
α ARCH Response to squared shocks	0.0918	7.84***
β GARCH Volatility persistence	0.9047	100.27***
γ leverage Additional response to negative shocks	0.5860	5.24***
δ power Transformation power	1.1399	9.41***

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