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	0.0380	3.37***
αARCH	0.0286	3.56***
βGARCH	0.9399	120.66***
γleverage	0.0295	2.12**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0380	3.37***
α ARCH Response to squared shocks	0.0286	3.56***
β GARCH Volatility persistence	0.9399	120.66***
γ leverage Additional response to negative shocks	0.0295	2.12**

V-Lab

Henkel AG & Co KGaA GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Henkel AG & Co KGaA Analyses