SMI Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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{type} for {date}

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	param	t-stat
$ω$	0.8465	4.45
$α$	0.0856	8.06
$β$	0.8896	76.93
$γ_{1}$	0.0272	1.98
$γ_{2}$	-0.0535	-2.80
$γ_{3}$	0.0509	3.45
$γ_{4}$	-0.0465	-3.16
$γ_{5}$	0.0762	3.24

V-Lab

Credit Suisse Group AG Spline-GARCH Volatility Analysis

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Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other Credit Suisse Group AG Analyses