CBOE Emerging Market Markets 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	0.0308	8.68***
αARCH	0.0846	5.87***
βGARCH	0.9001	81.39***
γleverage	0.9444	4.33***
δpower	1.0952	9.05***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0308	8.68***
α ARCH Response to squared shocks	0.0846	5.87***
β GARCH Volatility persistence	0.9001	81.39***
γ leverage Additional response to negative shocks	0.9444	4.33***
δ power Transformation power	1.0952	9.05***

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MSCI Europe APARCH Volatility Analysis

Date Range:

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