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

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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
ωconst	1.1394	4.64***
αARCH	0.2136	9.87***
βGARCH	0.5836	15.75***

γ₁	-0.0607	-1.37
γ₂	0.1327	2.07**
γ₃	-0.1460	-3.62***
γ₄	0.1345	4.03***
γ₅	-0.0967	-3.26***
γ₆	0.0603	2.02**
γ₇	-0.0658	-2.34**
γ₈	0.0890	3.30***
γ₉	-0.0642	-3.04***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1394	4.64***
α ARCH Response to squared shocks	0.2136	9.87***
β GARCH Volatility persistence	0.5836	15.75***

γ₁	-0.0607	-1.37
γ₂	0.1327	2.07**
γ₃	-0.1460	-3.62***
γ₄	0.1345	4.03***
γ₅	-0.0967	-3.26***
γ₆	0.0603	2.02**
γ₇	-0.0658	-2.34**
γ₈	0.0890	3.30***
γ₉	-0.0642	-3.04***

V-Lab

VIEL & Cie SA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other VIEL & Cie SA Analyses