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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Param	Value	t-stat
ωconst	0.5903	7.97***
αARCH	0.1291	7.72***
βGARCH	0.6914	17.18***

γ₁	-0.0591	-5.51***
γ₂	0.0706	4.70***
γ₃	-0.0170	-1.71*
γ₄	0.0203	2.11**
γ₅	-0.0232	-3.39***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5903	7.97***
α ARCH Response to squared shocks	0.1291	7.72***
β GARCH Volatility persistence	0.6914	17.18***

γ₁	-0.0591	-5.51***
γ₂	0.0706	4.70***
γ₃	-0.0170	-1.71*
γ₄	0.0203	2.11**
γ₅	-0.0232	-3.39***

V-Lab

Merck KGaA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Merck KGaA Analyses