FTSE 100 Implied Volatility Index 30 Days

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	0.8023	1.93*
αscore	0.0881	9.12***
βpersistence	0.9875	150.42***
νDF	7.5756	1.69*

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	0.8023	1.93*
α score Weight on the scaled score	0.0881	9.12***
β persistence Volatility persistence	0.9875	150.42***
ν DF Student-t tail thickness	7.5756	1.69*

V-Lab

MSCI All Country World Index (ACWI) USD GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MSCI All Country World Index (ACWI) USD Analyses