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	0.7590	3.85***
αARCH	0.0794	2.19**
βGARCH	0.7471	9.08***

γ₁	-1.5316	-2.70***
γ₂	2.6834	3.32***
γ₃	-2.1369	-4.39***
γ₄	1.4081	3.25***
γ₅	-0.5612	-1.12
γ₆	0.5670	0.67

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7590	3.85***
α ARCH Response to squared shocks	0.0794	2.19**
β GARCH Volatility persistence	0.7471	9.08***

γ₁	-1.5316	-2.70***
γ₂	2.6834	3.32***
γ₃	-2.1369	-4.39***
γ₄	1.4081	3.25***
γ₅	-0.5612	-1.12
γ₆	0.5670	0.67

V-Lab

Sats As Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sats As Analyses