DAX Volatility Index

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EURO STOXX 50 Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{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	0.9587	5.46***
αARCH	0.0958	9.58***
βGARCH	0.8708	72.57***

γ₁	-0.0056	-0.18
γ₂	0.0637	1.17
γ₃	-0.1459	-3.83***
γ₄	0.1723	6.73***
γ₅	-0.1494	-6.08***
γ₆	0.0899	3.03***
γ₇	-0.0143	-0.46
γ₈	-0.0541	-1.25

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9587	5.46***
α ARCH Response to squared shocks	0.0958	9.58***
β GARCH Volatility persistence	0.8708	72.57***

γ₁	-0.0056	-0.18
γ₂	0.0637	1.17
γ₃	-0.1459	-3.83***
γ₄	0.1723	6.73***
γ₅	-0.1494	-6.08***
γ₆	0.0899	3.03***
γ₇	-0.0143	-0.46
γ₈	-0.0541	-1.25

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