DAX Volatility Index

CBOE EFA ETF Volatility Index

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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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Param	Value	t-stat
ωconst	4.8968	1.65*
αARCH	0.0665	7.70***
βGARCH	0.9844	99.88***
νDF	5.0395	2.35**

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.8968	1.65*
α ARCH Response to squared shocks	0.0665	7.70***
β GARCH Volatility persistence	0.9844	99.88***
ν DF Student-t tail thickness	5.0395	2.35**

V-Lab

Continental AG GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Continental AG Analyses