DAX Volatility Index

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EURO STOXX 50 Volatility Index

How volatility evolves over time

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{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	0.0434	2.45**
αARCH	0.2375	12.18***
βGARCH	0.7416	59.26***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0434	2.45**
α ARCH Response to squared shocks	0.2375	12.18***
β GARCH Volatility persistence	0.7416	59.26***

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EURO STOXX 50 Price EUR MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other EURO STOXX 50 Price EUR Analyses