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
mwindow	66
αARCH	0.0496	3.35***
βGARCH	0.7812	31.46***
γleverage	0.1415	5.16***
λ₁tau intercept	0.0096	1.69*
λ₂forecast adj.	0.0157	3.09***
λ₃tau persistence	0.9824	157.68***

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0496	3.35***
β GARCH Volatility persistence	0.7812	31.46***
γ leverage Additional response to negative shocks	0.1415	5.16***
λ₁ tau intercept Baseline long-term coefficient	0.0096	1.69*
λ₂ forecast adj. Forecast performance sensitivity	0.0157	3.09***
λ₃ tau persistence Long-term factor persistence	0.9824	157.68***

V-Lab

SAP SE MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SAP SE Analyses