CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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Param	Value	t-stat
ωconst	264.7561	1.72*
αARCH	0.1002	25.61***
βGARCH	0.9990	1,662.23***
νDF	2.0006

Parameter	Value	t-statistic
ω const Unconditional variance weight	264.7561	1.72*
α ARCH Response to squared shocks	0.1002	25.61***
β GARCH Volatility persistence	0.9990	1,662.23***
ν DF Student-t tail thickness	2.0006

V-Lab

Christian Dior SE GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Christian Dior SE Analyses