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	0.8153	5.60***
αARCH	0.1480	10.10***
βGARCH	0.8048	49.36***

γ₁	0.0937	3.68***
γ₂	-0.1953	-5.49***
γ₃	0.1879	8.22***
γ₄	-0.1234	-5.49***
γ₅	0.0196	0.81
γ₆	0.0480	1.91*
γ₇	-0.0630	-1.64

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8153	5.60***
α ARCH Response to squared shocks	0.1480	10.10***
β GARCH Volatility persistence	0.8048	49.36***

γ₁	0.0937	3.68***
γ₂	-0.1953	-5.49***
γ₃	0.1879	8.22***
γ₄	-0.1234	-5.49***
γ₅	0.0196	0.81
γ₆	0.0480	1.91*
γ₇	-0.0630	-1.64

V-Lab

PSI 20 Portuguese Stock Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PSI 20 Portuguese Stock Index Analyses