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
ωconst	1.8603	2.13**
αARCH	0.0764	8.71***
βGARCH	0.9891	189.52***
νDF	8.7929	1.36

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8603	2.13**
α ARCH Response to squared shocks	0.0764	8.71***
β GARCH Volatility persistence	0.9891	189.52***
ν DF Student-t tail thickness	8.7929	1.36

V-Lab

OMX Stockholm 30 Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other OMX Stockholm 30 Index Analyses