CBOE EFA ETF 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	0.1211	3.63***
αARCH	0.1023	6.55***
βGARCH	0.8513	39.26***
γleverage	0.1540	0.83

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1211	3.63***
α ARCH Response to squared shocks	0.1023	6.55***
β GARCH Volatility persistence	0.8513	39.26***
γ leverage Additional response to negative shocks	0.1540	0.83

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Xior Student Housing NV AGARCH Volatility Analysis

Date Range:

News Impact Curve

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