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	1.3685	5.40***
αARCH	0.1648	7.28***
βGARCH	0.7474	29.38***
γleverage	-1.6417	-4.52***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3685	5.40***
α ARCH Response to squared shocks	0.1648	7.28***
β GARCH Volatility persistence	0.7474	29.38***
γ leverage Additional response to negative shocks	-1.6417	-4.52***

V-Lab

iTraxx/CBOE Europe Main 6-Month Volatility Index (BP Volatility) AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iTraxx/CBOE Europe Main 6-Month Volatility Index (BP Volatility) Analyses