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	19.5656	1.89*
αARCH	0.0922	5.44***
βGARCH	0.9575	43.39***
νDF	4.4559	1.84*

Parameter	Value	t-statistic
ω const Unconditional variance weight	19.5656	1.89*
α ARCH Response to squared shocks	0.0922	5.44***
β GARCH Volatility persistence	0.9575	43.39***
ν DF Student-t tail thickness	4.4559	1.84*

V-Lab

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