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	6.3233	1.11
αARCH	0.0921	2.66***
βGARCH	0.9500	20.64***
νDF	4.2307	1.05

Parameter	Value	t-statistic
ω const Unconditional variance weight	6.3233	1.11
α ARCH Response to squared shocks	0.0921	2.66***
β GARCH Volatility persistence	0.9500	20.64***
ν DF Student-t tail thickness	4.2307	1.05

V-Lab

Sats As GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sats As Analyses