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	0.7885	9.09***
αARCH	0.0300	2.43**
βGARCH	0.9397	40.34***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7885	9.09***
α ARCH Response to squared shocks	0.0300	2.43**
β GARCH Volatility persistence	0.9397	40.34***

V-Lab

Loreal Sa Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Loreal Sa Analyses