CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

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{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
mwindow	41
αARCH	0.5000	30.82***
βGARCH	0.0000	0.00
γleverage	-0.5000	-29.09***
λ₁tau intercept	0.0220	3.61***
λ₂forecast adj.	0.3142	77.69***
λ₃tau persistence	0.6858	37.87***

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.5000	30.82***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.5000	-29.09***
λ₁ tau intercept Baseline long-term coefficient	0.0220	3.61***
λ₂ forecast adj. Forecast performance sensitivity	0.3142	77.69***
λ₃ tau persistence Long-term factor persistence	0.6858	37.87***

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Warehouses De Pauw CVA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Warehouses De Pauw CVA Analyses