CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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{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	40.7098	0.66
αARCH	0.2081	13.69***
βGARCH	0.9815	36.34***
νDF	2.7635	12.23***

Parameter	Value	t-statistic
ω const Unconditional variance weight	40.7098	0.66
α ARCH Response to squared shocks	0.2081	13.69***
β GARCH Volatility persistence	0.9815	36.34***
ν DF Student-t tail thickness	2.7635	12.23***

V-Lab

Ops eCom SpA GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ops eCom SpA Analyses