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EURO STOXX 50 Volatility Index

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{name} Model Equation

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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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0310	13.72***
α ARCH Response to squared shocks	0.0115	4.56***
β GARCH Volatility persistence	0.8970	451.19***
γ leverage Additional response to negative shocks	0.1418	23.65***

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EURO STOXX 50 Price EUR GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other EURO STOXX 50 Price EUR Analyses