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
mwindow	21
αARCH	0.0568	4.31***
βGARCH	0.6867	27.70***
γleverage	0.1938	7.78***
λ₁tau intercept	0.0071	2.66***
λ₂forecast adj.	0.0525	4.79***
λ₃tau persistence	0.9421	78.05***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0568	4.31***
β GARCH Volatility persistence	0.6867	27.70***
γ leverage Additional response to negative shocks	0.1938	7.78***
λ₁ tau intercept Baseline long-term coefficient	0.0071	2.66***
λ₂ forecast adj. Forecast performance sensitivity	0.0525	4.79***
λ₃ tau persistence Long-term factor persistence	0.9421	78.05***

V-Lab

PSI 20 Portuguese Stock Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PSI 20 Portuguese Stock Index Analyses