CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

CBOE Volatility Index

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CBOE Russell 2000 Volatility Index

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How volatility evolves over time

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{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	0.1118	2.07**
αARCH	0.8527	0.90
βGARCH	0.1473	0.38

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1118	2.07**
α ARCH Response to squared shocks	0.8527	0.90
β GARCH Volatility persistence	0.1473	0.38

V-Lab

Pasqal Holding SA MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pasqal Holding SA Analyses