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	0.7429	2.21**
αARCH	0.0923	3.48***
βGARCH	0.8798	34.69***
γleverage	-0.2432	-0.18

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7429	2.21**
α ARCH Response to squared shocks	0.0923	3.48***
β GARCH Volatility persistence	0.8798	34.69***
γ leverage Additional response to negative shocks	-0.2432	-0.18

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Sivers Semiconductors Ab AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sivers Semiconductors Ab Analyses