FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.3057	7.02***
αARCH	0.1125	10.04***
βGARCH	0.8493	63.95***

γ₁	0.0255	1.09
γ₂	0.0239	0.63
γ₃	-0.1284	-4.65***
γ₄	0.1636	6.67***
γ₅	-0.1729	-7.34***
γ₆	0.1488	5.54***
γ₇	-0.0718	-2.43**
γ₈	-0.0033	-0.07

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3057	7.02***
α ARCH Response to squared shocks	0.1125	10.04***
β GARCH Volatility persistence	0.8493	63.95***

γ₁	0.0255	1.09
γ₂	0.0239	0.63
γ₃	-0.1284	-4.65***
γ₄	0.1636	6.67***
γ₅	-0.1729	-7.34***
γ₆	0.1488	5.54***
γ₇	-0.0718	-2.43**
γ₈	-0.0033	-0.07

V-Lab

MSCI World Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MSCI World Analyses