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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	0.8612	7.36***
αARCH	0.1001	9.67***
βGARCH	0.8632	69.84***

γ₁	-0.0739	-0.89
γ₂	0.1724	1.25
γ₃	-0.1548	-1.75*
γ₄	0.0184	0.29
γ₅	0.1314	2.56**
γ₆	-0.1657	-4.08***
γ₇	0.0679	1.58
γ₈	0.0544	1.10
γ₉	-0.0946	-1.76*
γ₁₀	0.0628	1.62

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8612	7.36***
α ARCH Response to squared shocks	0.1001	9.67***
β GARCH Volatility persistence	0.8632	69.84***

γ₁	-0.0739	-0.89
γ₂	0.1724	1.25
γ₃	-0.1548	-1.75*
γ₄	0.0184	0.29
γ₅	0.1314	2.56**
γ₆	-0.1657	-4.08***
γ₇	0.0679	1.58
γ₈	0.0544	1.10
γ₉	-0.0946	-1.76*
γ₁₀	0.0628	1.62

V-Lab

Dow Jones Euro Stoxx Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dow Jones Euro Stoxx Index Analyses