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	0.9065	5.97***
αARCH	0.1129	9.39***
βGARCH	0.8302	46.56***

γ₁	-0.1356	-2.19**
γ₂	0.2374	2.54**
γ₃	-0.1363	-2.46**
γ₄	0.0270	0.56
γ₅	0.0667	1.13
γ₆	-0.1743	-2.26**
γ₇	0.1790	2.77***
γ₈	-0.0391	-1.03
γ₉	-0.0724	-1.95*
γ₁₀	0.0697	2.44**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9065	5.97***
α ARCH Response to squared shocks	0.1129	9.39***
β GARCH Volatility persistence	0.8302	46.56***

γ₁	-0.1356	-2.19**
γ₂	0.2374	2.54**
γ₃	-0.1363	-2.46**
γ₄	0.0270	0.56
γ₅	0.0667	1.13
γ₆	-0.1743	-2.26**
γ₇	0.1790	2.77***
γ₈	-0.0391	-1.03
γ₉	-0.0724	-1.95*
γ₁₀	0.0697	2.44**

V-Lab

Oslo Stock Exchange All Share Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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