CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	0.0849	4.41***
αARCH	0.2525	10.11***
βGARCH	0.6960	18.85***
γleverage	-0.0536	-1.33
δpower	0.5000	4.72***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0849	4.41***
α ARCH Response to squared shocks	0.2525	10.11***
β GARCH Volatility persistence	0.6960	18.85***
γ leverage Additional response to negative shocks	-0.0536	-1.33
δ power Transformation power	0.5000	4.72***

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Xior Student Housing NV Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Xior Student Housing NV Analyses