DAX Volatility Index

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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9272	10.38***
α ARCH Response to squared shocks	0.0615	5.16***
β GARCH Volatility persistence	0.8345	23.72***

γ₁	-0.0383	-1.42
γ₂	-0.0004	-0.01
γ₃	0.1209	3.52***
γ₄	-0.1457	-3.70***
γ₅	0.0963	2.12**
γ₆	-0.0341	-0.89
γ₇	-0.0009	-0.03
γ₈	-0.0032	-0.14

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adidas AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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