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	1.2539	2.86***
αARCH	0.1045	6.12***
βGARCH	0.9733	87.25***
νDF	9.6695	0.87

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2539	2.86***
α ARCH Response to squared shocks	0.1045	6.12***
β GARCH Volatility persistence	0.9733	87.25***
ν DF Student-t tail thickness	9.6695	0.87

V-Lab

Deutsche Borse SDAX Performance Index (XETRA) GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Borse SDAX Performance Index (XETRA) Analyses