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	0.9109	5.95***
αARCH	0.1128	9.43***
βGARCH	0.8312	47.13***

γ₁	-0.1338	-2.18**
γ₂	0.2349	2.54**
γ₃	-0.1369	-2.50**
γ₄	0.0317	0.67
γ₅	0.0588	1.00
γ₆	-0.1669	-2.14**
γ₇	0.1768	2.64***
γ₈	-0.0406	-1.04
γ₉	-0.0733	-2.05**
γ₁₀	0.0729	2.63***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9109	5.95***
α ARCH Response to squared shocks	0.1128	9.43***
β GARCH Volatility persistence	0.8312	47.13***

γ₁	-0.1338	-2.18**
γ₂	0.2349	2.54**
γ₃	-0.1369	-2.50**
γ₄	0.0317	0.67
γ₅	0.0588	1.00
γ₆	-0.1669	-2.14**
γ₇	0.1768	2.64***
γ₈	-0.0406	-1.04
γ₉	-0.0733	-2.05**
γ₁₀	0.0729	2.63***

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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