DAX Volatility Index

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EURO STOXX 50 Volatility Index

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.3268	13.82***
β GARCH Volatility persistence	0.4120	13.83***
γ leverage Additional response to negative shocks	-0.1781	-4.89***
λ₁ tau intercept Baseline long-term coefficient	0.4522	0.74
λ₂ forecast adj. Forecast performance sensitivity	0.1443	0.92
λ₃ tau persistence Long-term factor persistence	0.8187	4.01***

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NX Filtration N.V. MF2-GARCH Volatility Analysis

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