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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0091	5.92***
α ARCH Response to squared shocks	0.0556	7.63***
β GARCH Volatility persistence	0.9145	82.32***

γ₁	0.0517	1.11
γ₂	0.0308	0.40
γ₃	-0.2408	-4.74***
γ₄	0.2930	7.22***
γ₅	-0.2300	-5.00***
γ₆	0.1424	3.18***
γ₇	-0.0414	-0.97
γ₈	-0.0165	-0.36
γ₉	0.0299	0.49

V-Lab

Siemens AG Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Siemens AG Analyses