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	1.4228	0.40
αARCH	0.0000	0.00
βGARCH	0.9314	0.34
νDF	9.1070	0.12

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4228	0.40
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9314	0.34
ν DF Student-t tail thickness	9.1070	0.12

V-Lab

Warehouses De Pauw CVA GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Warehouses De Pauw CVA Analyses