EURO STOXX 50 Volatility Index

CBOE EFA ETF 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	80.7548	1.92*
αARCH	0.0512	18.43***
βGARCH	0.9929	322.17***
νDF	2.2952	65.24***

Parameter	Value	t-statistic
ω const Unconditional variance weight	80.7548	1.92*
α ARCH Response to squared shocks	0.0512	18.43***
β GARCH Volatility persistence	0.9929	322.17***
ν DF Student-t tail thickness	2.2952	65.24***

V-Lab

Petrolia Se GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Petrolia Se Analyses