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	2.6457	2.76***
αARCH	0.0541	20.26***
βGARCH	0.9939	378.35***
νDF	3.4593	22.96***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.6457	2.76***
α ARCH Response to squared shocks	0.0541	20.26***
β GARCH Volatility persistence	0.9939	378.35***
ν DF Student-t tail thickness	3.4593	22.96***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Warsaw Stock Exchange WIG Total Return Index Analyses