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	0.9612	5.45***
αARCH	0.0956	9.59***
βGARCH	0.8710	72.75***

γ₁	-0.0049	-0.16
γ₂	0.0622	1.15
γ₃	-0.1445	-3.80***
γ₄	0.1714	6.69***
γ₅	-0.1501	-6.12***
γ₆	0.0927	3.11***
γ₇	-0.0185	-0.59
γ₈	-0.0503	-1.20

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9612	5.45***
α ARCH Response to squared shocks	0.0956	9.59***
β GARCH Volatility persistence	0.8710	72.75***

γ₁	-0.0049	-0.16
γ₂	0.0622	1.15
γ₃	-0.1445	-3.80***
γ₄	0.1714	6.69***
γ₅	-0.1501	-6.12***
γ₆	0.0927	3.11***
γ₇	-0.0185	-0.59
γ₈	-0.0503	-1.20

V-Lab

EURO STOXX 50 Price EUR Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other EURO STOXX 50 Price EUR Analyses