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	91
αARCH	0.0879	3.96***
βGARCH	0.8009	24.79***
γleverage	0.0336	1.01
λ₁tau intercept	0.1697	1.82*
λ₂forecast adj.	0.9446	14.88***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.0879	3.96***
β GARCH Volatility persistence	0.8009	24.79***
γ leverage Additional response to negative shocks	0.0336	1.01
λ₁ tau intercept Baseline long-term coefficient	0.1697	1.82*
λ₂ forecast adj. Forecast performance sensitivity	0.9446	14.88***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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QRF Sicafi CVA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other QRF Sicafi CVA Analyses