EURO STOXX 50 Volatility Index

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How volatility evolves over time

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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	21.7239	2.49**
αARCH	0.3363	28.44***
βGARCH	0.9982	1,361.74***
νDF	7.9665	6.25***

Parameter	Value	t-statistic
ω const Unconditional variance weight	21.7239	2.49**
α ARCH Response to squared shocks	0.3363	28.44***
β GARCH Volatility persistence	0.9982	1,361.74***
ν DF Student-t tail thickness	7.9665	6.25***

V-Lab

BDI Baltic Exchange Dry Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BDI Baltic Exchange Dry Index Analyses