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	0.1874	2.94***
αARCH	0.2848	9.92***
βGARCH	0.6517	18.18***
γleverage	0.0665	1.60
δpower	0.8464	2.90***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1874	2.94***
α ARCH Response to squared shocks	0.2848	9.92***
β GARCH Volatility persistence	0.6517	18.18***
γ leverage Additional response to negative shocks	0.0665	1.60
δ power Transformation power	0.8464	2.90***

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Sats As Asy. Power MEM Volatility Analysis

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