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
mwindow	81
αARCH	0.1019	3.02***
βGARCH	0.8398	15.99***
γleverage	-0.0422	-0.97
λ₁tau intercept	0.4216	1.08
λ₂forecast adj.	0.0892	1.01
λ₃tau persistence	0.9009	10.29***

Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.1019	3.02***
β GARCH Volatility persistence	0.8398	15.99***
γ leverage Additional response to negative shocks	-0.0422	-0.97
λ₁ tau intercept Baseline long-term coefficient	0.4216	1.08
λ₂ forecast adj. Forecast performance sensitivity	0.0892	1.01
λ₃ tau persistence Long-term factor persistence	0.9009	10.29***

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Sivers Semiconductors Ab MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sivers Semiconductors Ab Analyses