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

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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	26
αARCH	0.1886	6.20***
βGARCH	0.5329	11.72***
γleverage	0.0305	0.78
λ₁tau intercept	0.0464	2.52**
λ₂forecast adj.	0.0206	3.43***
λ₃tau persistence	0.9677	102.31***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1886	6.20***
β GARCH Volatility persistence	0.5329	11.72***
γ leverage Additional response to negative shocks	0.0305	0.78
λ₁ tau intercept Baseline long-term coefficient	0.0464	2.52**
λ₂ forecast adj. Forecast performance sensitivity	0.0206	3.43***
λ₃ tau persistence Long-term factor persistence	0.9677	102.31***

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VIEL & Cie SA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other VIEL & Cie SA Analyses