CBOE Emerging Market Markets 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
ωconst	1.9031	5.47***
αARCH	0.0770	8.47***
βGARCH	0.9042	89.64***

γ₁	0.0040	2.34**
γ₂	-0.0039	-1.85*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9031	5.47***
α ARCH Response to squared shocks	0.0770	8.47***
β GARCH Volatility persistence	0.9042	89.64***

γ₁	0.0040	2.34**
γ₂	-0.0039	-1.85*

V-Lab

Warsaw Stock Exchange WIG Total Return Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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Parameter Estimates

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