DAX Volatility Index

CBOE EFA ETF Volatility Index

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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	5.3710	3.44***
αARCH	0.0832	0.44
βGARCH	0.9234	7.86***
νDF	80.0524	0.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.3710	3.44***
α ARCH Response to squared shocks	0.0832	0.44
β GARCH Volatility persistence	0.9234	7.86***
ν DF Student-t tail thickness	80.0524	0.01

V-Lab

Ctac NV GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ctac NV Analyses