DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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	param	t-stat
$ω$	2.5203	1.79
$α$	0.3965	7.04
$β$	0.5900	10.50
$γ_{1}$	-0.3759	-0.11
$γ_{2}$	1.2055	0.24
$γ_{3}$	-3.3399	-0.96
$γ_{4}$	4.8294	1.54
$γ_{5}$	-4.3972	-1.63
$γ_{6}$	-0.2994	-0.09
$γ_{7}$	11.3404	2.50
$γ_{8}$	-15.4441	-1.87
$γ_{9}$	0.0296	0.00

V-Lab

home24 SE Spline-GARCH Volatility Analysis

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Date Range:

Parameter Estimates

News Impact Curve

Volatility Forecasts

Other home24 SE Analyses