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	0.8141	4.68***
α ARCH Response to squared shocks	0.0790	6.52***
β GARCH Volatility persistence	0.8516	41.67***

γ₁	-0.0553	-0.87
γ₂	-0.0956	-1.07
γ₃	0.3450	6.34***
γ₄	-0.3056	-5.74***
γ₅	0.1851	2.96***
γ₆	-0.1721	-2.56**
γ₇	0.2170	3.48***
γ₈	-0.2358	-3.84***
γ₉	0.3548	4.06***

V-Lab

Deutsche Telekom AG Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Telekom AG Analyses