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	0.7560	3.81***
αARCH	0.0810	2.20**
βGARCH	0.7458	9.07***

γ₁	-1.5568	-2.67***
γ₂	2.7054	3.26***
γ₃	-2.0823	-4.18***
γ₄	1.2419	2.77***
γ₅	-0.2521	-0.49
γ₆	-0.0426	-0.10

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7560	3.81***
α ARCH Response to squared shocks	0.0810	2.20**
β GARCH Volatility persistence	0.7458	9.07***

γ₁	-1.5568	-2.67***
γ₂	2.7054	3.26***
γ₃	-2.0823	-4.18***
γ₄	1.2419	2.77***
γ₅	-0.2521	-0.49
γ₆	-0.0426	-0.10

V-Lab

Sats As Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sats As Analyses