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
ωlong-run	6.7820	1.40
αscore	0.0812	15.42***
βpersistence	0.9976	629.41***
νDF	7.9566	2.28**

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	6.7820	1.40
α score Weight on the scaled score	0.0812	15.42***
β persistence Volatility persistence	0.9976	629.41***
ν DF Student-t tail thickness	7.9566	2.28**

V-Lab

Warsaw Stock Exchange WIG Total Return Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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