DAX Volatility Index

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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
ωlong-run	5.3718	2.64***
αscore	0.1647	2.11**
βpersistence	0.8548	12.08***
νDF	6.2559	0.60

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	5.3718	2.64***
α score Weight on the scaled score	0.1647	2.11**
β persistence Volatility persistence	0.8548	12.08***
ν DF Student-t tail thickness	6.2559	0.60

V-Lab

Planetel Spa GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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