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EURO STOXX 50 Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	41
αARCH	0.1074	5.26***
βGARCH	0.6344	17.69***
γleverage	0.1019	3.34***
λ₁tau intercept	0.3661	1.17
λ₂forecast adj.	0.1881	1.46
λ₃tau persistence	0.7701	4.77***

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.1074	5.26***
β GARCH Volatility persistence	0.6344	17.69***
γ leverage Additional response to negative shocks	0.1019	3.34***
λ₁ tau intercept Baseline long-term coefficient	0.3661	1.17
λ₂ forecast adj. Forecast performance sensitivity	0.1881	1.46
λ₃ tau persistence Long-term factor persistence	0.7701	4.77***

V-Lab

Softbank Group Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Softbank Group Corp Analyses