CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

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CBOE Skew Index

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
ωlong-run	127.9437	0.89
αscore	0.2984	10.42***
βpersistence	0.9655	27.86***
νDF	2.0088	698.97***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	127.9437	0.89
α score Weight on the scaled score	0.2984	10.42***
β persistence Volatility persistence	0.9655	27.86***
ν DF Student-t tail thickness	2.0088	698.97***

V-Lab

Pasqal Holding SA GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pasqal Holding SA Analyses