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	0.8009	5.42***
αARCH	0.1486	10.20***
βGARCH	0.8053	50.34***

γ₁	0.0890	3.44***
γ₂	-0.1883	-5.21***
γ₃	0.1841	7.98***
γ₄	-0.1222	-5.41***
γ₅	0.0226	0.93
γ₆	0.0366	1.55
γ₇	-0.0276	-1.66*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8009	5.42***
α ARCH Response to squared shocks	0.1486	10.20***
β GARCH Volatility persistence	0.8053	50.34***

γ₁	0.0890	3.44***
γ₂	-0.1883	-5.21***
γ₃	0.1841	7.98***
γ₄	-0.1222	-5.41***
γ₅	0.0226	0.93
γ₆	0.0366	1.55
γ₇	-0.0276	-1.66*

V-Lab

PSI 20 Portuguese Stock Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PSI 20 Portuguese Stock Index Analyses