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
mwindow	126
αARCH	0.2678	6.09***
βGARCH	0.6320	12.70***
γleverage	-0.2339	-5.27***
λ₁tau intercept	0.0131	0.35
λ₂forecast adj.	0.0043	2.46**
λ₃tau persistence	0.9957	438.62***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.2678	6.09***
β GARCH Volatility persistence	0.6320	12.70***
γ leverage Additional response to negative shocks	-0.2339	-5.27***
λ₁ tau intercept Baseline long-term coefficient	0.0131	0.35
λ₂ forecast adj. Forecast performance sensitivity	0.0043	2.46**
λ₃ tau persistence Long-term factor persistence	0.9957	438.62***

V-Lab

iTraxx/CBOE Europe Main 1-Month Volatility Index (BP Volatility) MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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