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	0.2159	1.78*
αARCH	0.0837	3.15***
βGARCH	0.8750	25.18***
γleverage	0.3267	2.33**
δpower	1.5438	3.99***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2159	1.78*
α ARCH Response to squared shocks	0.0837	3.15***
β GARCH Volatility persistence	0.8750	25.18***
γ leverage Additional response to negative shocks	0.3267	2.33**
δ power Transformation power	1.5438	3.99***

V-Lab

Sats As APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sats As Analyses