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	0.0495	3.69***
α ARCH Response to squared shocks	0.0437	5.13***
β GARCH Volatility persistence	0.9495	106.10***
γ leverage Additional response to negative shocks	0.3184	3.06***
δ power Transformation power	1.3726	6.63***

V-Lab

Capgemini Se Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Capgemini Se Analyses