SMI Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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	0.8686	15.00***
αARCH	0.1460	7.55***
βGARCH	0.7015	19.82***

γ₁	0.0043	2.94***
γ₂	-0.0118	-4.19***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8686	15.00***
α ARCH Response to squared shocks	0.1460	7.55***
β GARCH Volatility persistence	0.7015	19.82***

γ₁	0.0043	2.94***
γ₂	-0.0118	-4.19***

V-Lab

SMI Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SMI Volatility Index Analyses