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

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	0.1187	3.70***
αARCH	0.0836	2.82***
βGARCH	0.8554	40.00***
γleverage	0.0328	0.62

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1187	3.70***
α ARCH Response to squared shocks	0.0836	2.82***
β GARCH Volatility persistence	0.8554	40.00***
γ leverage Additional response to negative shocks	0.0328	0.62

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Xior Student Housing NV GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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