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	0.0494	6.48***
αARCH	0.1036	7.54***
βGARCH	0.8754	59.54***
γleverage	0.6846	6.44***
δpower	0.9573	5.93***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0494	6.48***
α ARCH Response to squared shocks	0.1036	7.54***
β GARCH Volatility persistence	0.8754	59.54***
γ leverage Additional response to negative shocks	0.6846	6.44***
δ power Transformation power	0.9573	5.93***

V-Lab

Deutsche Borse SDAX Performance Index (XETRA) APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Borse SDAX Performance Index (XETRA) Analyses