CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility 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
ωconst	0.3889	4.72***
αARCH	0.2350	5.13***
βGARCH	0.6759	20.75***
γleverage	0.0636	0.82

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3889	4.72***
α ARCH Response to squared shocks	0.2350	5.13***
β GARCH Volatility persistence	0.6759	20.75***
γ leverage Additional response to negative shocks	0.0636	0.82

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Sats As Asy. MEM Volatility Analysis

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News Impact Curve

Volatility Forecast

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