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	1.9129	1.42
αARCH	0.1057	10.44***
βGARCH	0.9910	152.53***
νDF	7.2141	2.24**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9129	1.42
α ARCH Response to squared shocks	0.1057	10.44***
β GARCH Volatility persistence	0.9910	152.53***
ν DF Student-t tail thickness	7.2141	2.24**

V-Lab

MSCI Europe GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MSCI Europe Analyses