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

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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	2.7296	1.71*
αARCH	0.2894	4.42***
βGARCH	0.7091	10.77***

γ₁	-0.1566	-1.77*
γ₂	0.2066	1.70*
γ₃	-0.0661	-1.24

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.7296	1.71*
α ARCH Response to squared shocks	0.2894	4.42***
β GARCH Volatility persistence	0.7091	10.77***

γ₁	-0.1566	-1.77*
γ₂	0.2066	1.70*
γ₃	-0.0661	-1.24

V-Lab

Ops eCom SpA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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