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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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Param	Value	t-stat
mwindow	36
αARCH	0.0000	0.00
βGARCH	0.8479	66.08***
γleverage	0.1788	11.18***
λ₁tau intercept	0.0062	2.54**
λ₂forecast adj.	0.0214	1.96*
λ₃tau persistence	0.9741	79.48***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8479	66.08***
γ leverage Additional response to negative shocks	0.1788	11.18***
λ₁ tau intercept Baseline long-term coefficient	0.0062	2.54**
λ₂ forecast adj. Forecast performance sensitivity	0.0214	1.96*
λ₃ tau persistence Long-term factor persistence	0.9741	79.48***

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EURO STOXX 50 Price EUR MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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