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
mwindow	21
αARCH	0.1131	3.04***
βGARCH	0.2668	2.77***
γleverage	0.0780	1.59
λ₁tau intercept	3.4130	2.59***
λ₂forecast adj.	0.7007	2.95***
λ₃tau persistence	0.2410	0.96

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1131	3.04***
β GARCH Volatility persistence	0.2668	2.77***
γ leverage Additional response to negative shocks	0.0780	1.59
λ₁ tau intercept Baseline long-term coefficient	3.4130	2.59***
λ₂ forecast adj. Forecast performance sensitivity	0.7007	2.95***
λ₃ tau persistence Long-term factor persistence	0.2410	0.96

V-Lab

Petrolia Se MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Petrolia Se Analyses