CBOE Emerging Market Markets 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	0.0263	4.24***
αARCH	0.0556	3.06***
βGARCH	0.9161	106.50***
γleverage	0.0864	2.13**
δpower	2.5770	5.28***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0263	4.24***
α ARCH Response to squared shocks	0.0556	3.06***
β GARCH Volatility persistence	0.9161	106.50***
γ leverage Additional response to negative shocks	0.0864	2.13**
δ power Transformation power	2.5770	5.28***

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Warsaw Stock Exchange WIG Total Return Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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