DAX 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	41.5976	3.41***
αARCH	0.1072	4.28***
βGARCH	0.9089	27.94***
νDF	5.3468	1.20

Parameter	Value	t-statistic
ω const Unconditional variance weight	41.5976	3.41***
α ARCH Response to squared shocks	0.1072	4.28***
β GARCH Volatility persistence	0.9089	27.94***
ν DF Student-t tail thickness	5.3468	1.20

V-Lab

iTraxx/CBOE Europe Main 1-Month Volatility Index (BP Volatility) GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iTraxx/CBOE Europe Main 1-Month Volatility Index (BP Volatility) Analyses