CBOE EFA ETF 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	2.7363	1.60
αARCH	0.0979	3.61***
βGARCH	0.9594	36.75***
νDF	5.1077	1.23

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.7363	1.60
α ARCH Response to squared shocks	0.0979	3.61***
β GARCH Volatility persistence	0.9594	36.75***
ν DF Student-t tail thickness	5.1077	1.23

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Xior Student Housing NV GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Xior Student Housing NV Analyses