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	0.6912	2.50**
αARCH	0.2026	2.15**
βGARCH	-0.8665	-12.59***
γleverage	-0.0609	-1.45

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6912	2.50**
α ARCH Response to squared shocks	0.2026	2.15**
β GARCH Volatility persistence	-0.8665	-12.59***
γ leverage Additional response to negative shocks	-0.0609	-1.45

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Warehouses De Pauw CVA EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Warehouses De Pauw CVA Analyses