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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
ωconst	0.9747	5.49***
αARCH	0.0954	9.64***
βGARCH	0.8721	73.85***

γ₁	-0.0007	-0.02
γ₂	0.0544	0.97
γ₃	-0.1378	-3.53***
γ₄	0.1662	6.38***
γ₅	-0.1476	-5.91***
γ₆	0.0948	3.10***
γ₇	-0.0322	-1.05
γ₈	0.0024	0.12

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9747	5.49***
α ARCH Response to squared shocks	0.0954	9.64***
β GARCH Volatility persistence	0.8721	73.85***

γ₁	-0.0007	-0.02
γ₂	0.0544	0.97
γ₃	-0.1378	-3.53***
γ₄	0.1662	6.38***
γ₅	-0.1476	-5.91***
γ₆	0.0948	3.10***
γ₇	-0.0322	-1.05
γ₈	0.0024	0.12

V-Lab

EURO STOXX 50 Price EUR Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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