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	0.1367	1.26
αARCH	0.3224	1.15
βGARCH	0.7639	10.54***
γleverage	-0.2644	-0.82

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1367	1.26
α ARCH Response to squared shocks	0.3224	1.15
β GARCH Volatility persistence	0.7639	10.54***
γ leverage Additional response to negative shocks	-0.2644	-0.82

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Warehouses De Pauw CVA Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Warehouses De Pauw CVA Analyses