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	0.0425	7.42***
αARCH	0.2090	17.07***
βGARCH	0.7796	63.68***
γleverage	0.1521	6.15***
δpower	1.0807	5.92***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0425	7.42***
α ARCH Response to squared shocks	0.2090	17.07***
β GARCH Volatility persistence	0.7796	63.68***
γ leverage Additional response to negative shocks	0.1521	6.15***
δ power Transformation power	1.0807	5.92***

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