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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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0573	4.68***
β GARCH Volatility persistence	0.8048	37.35***
γ leverage Additional response to negative shocks	0.0858	4.75***
λ₁ tau intercept Baseline long-term coefficient	0.0093	2.51**
λ₂ forecast adj. Forecast performance sensitivity	0.0378	4.38***
λ₃ tau persistence Long-term factor persistence	0.9576	99.12***

V-Lab

Warsaw Stock Exchange WIG Total Return Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Warsaw Stock Exchange WIG Total Return Index Analyses