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	1.2455	7.04***
α ARCH Response to squared shocks	0.0512	6.49***
β GARCH Volatility persistence	0.8982	57.63***

γ₁	0.0527	0.99
γ₂	0.0199	0.23
γ₃	-0.1976	-3.68***
γ₄	0.1927	4.65***
γ₅	-0.0542	-1.37
γ₆	-0.0649	-1.65*
γ₇	0.0831	2.13**
γ₈	-0.0247	-0.65
γ₉	-0.0514	-1.04
γ₁₀	0.1498	2.02**

V-Lab

Henkel AG & Co KGaA Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Henkel AG & Co KGaA Analyses