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	1.4877	8.82***
αARCH	0.1064	8.91***
βGARCH	0.8684	73.08***

γ₁	0.0299	6.14***
γ₂	-0.0454	-5.40***
γ₃	0.0224	2.42**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4877	8.82***
α ARCH Response to squared shocks	0.1064	8.91***
β GARCH Volatility persistence	0.8684	73.08***

γ₁	0.0299	6.14***
γ₂	-0.0454	-5.40***
γ₃	0.0224	2.42**

V-Lab

FTSE World Italy Large Cap Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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