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	0.8462	5.56***
αARCH	0.1127	9.43***
βGARCH	0.8313	47.42***

γ₁	-0.1618	-2.73***
γ₂	0.2785	3.12***
γ₃	-0.1621	-3.02***
γ₄	0.0436	0.92
γ₅	0.0605	1.03
γ₆	-0.1769	-2.32**
γ₇	0.1876	2.92***
γ₈	-0.0511	-1.32
γ₉	-0.0568	-1.35
γ₁₀	0.0336	0.58

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8462	5.56***
α ARCH Response to squared shocks	0.1127	9.43***
β GARCH Volatility persistence	0.8313	47.42***

γ₁	-0.1618	-2.73***
γ₂	0.2785	3.12***
γ₃	-0.1621	-3.02***
γ₄	0.0436	0.92
γ₅	0.0605	1.03
γ₆	-0.1769	-2.32**
γ₇	0.1876	2.92***
γ₈	-0.0511	-1.32
γ₉	-0.0568	-1.35
γ₁₀	0.0336	0.58

V-Lab

Oslo Stock Exchange All Share Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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