CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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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	0.4395	3.61***
αARCH	0.0770	3.94***
βGARCH	0.8433	22.08***

γ₁	-0.4174	-1.27
γ₂	0.3528	0.76
γ₃	0.4008	1.76*
γ₄	-0.6267	-3.85***
γ₅	0.4989	3.36***
γ₆	-0.3302	-2.92***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4395	3.61***
α ARCH Response to squared shocks	0.0770	3.94***
β GARCH Volatility persistence	0.8433	22.08***

γ₁	-0.4174	-1.27
γ₂	0.3528	0.76
γ₃	0.4008	1.76*
γ₄	-0.6267	-3.85***
γ₅	0.4989	3.36***
γ₆	-0.3302	-2.92***

V-Lab

Sivers Semiconductors Ab Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sivers Semiconductors Ab Analyses