CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

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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
mwindow	126
αARCH	0.1641	3.18***
βGARCH	0.7213	14.39***
γleverage	0.2279	2.68***
λ₁tau intercept	7.9548	4.17***
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.9923	50.13***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1641	3.18***
β GARCH Volatility persistence	0.7213	14.39***
γ leverage Additional response to negative shocks	0.2279	2.68***
λ₁ tau intercept Baseline long-term coefficient	7.9548	4.17***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9923	50.13***

V-Lab

Ops eCom SpA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ops eCom SpA Analyses