DAX Volatility Index

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EURO STOXX 50 Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0244	5.99***
α ARCH Response to squared shocks	0.0556	7.65***
β GARCH Volatility persistence	0.9156	84.41***

γ₁	0.0568	1.19
γ₂	0.0214	0.27
γ₃	-0.2309	-4.45***
γ₄	0.2808	6.61***
γ₅	-0.2169	-4.52***
γ₆	0.1324	2.89***
γ₇	-0.0405	-0.95
γ₈	-0.0027	-0.06
γ₉	-0.0099	-0.32

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Siemens AG Zero Slope Spline-GARCH Volatility Analysis

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