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
ωlong-run	2.6465	1.58
αscore	0.0858	10.35***
βpersistence	0.9918	181.34***
νDF	8.2439	1.61

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	2.6465	1.58
α score Weight on the scaled score	0.0858	10.35***
β persistence Volatility persistence	0.9918	181.34***
ν DF Student-t tail thickness	8.2439	1.61

V-Lab

FTSE World Italy Large Cap Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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