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EURO STOXX 50 Volatility Index

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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

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	3.8418	2.49**
αARCH	0.1341	2.86***
βGARCH	0.8517	14.50***
νDF	3.9457	1.44

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.8418	2.49**
α ARCH Response to squared shocks	0.1341	2.86***
β GARCH Volatility persistence	0.8517	14.50***
ν DF Student-t tail thickness	3.9457	1.44

V-Lab

Tate & Lyle Plc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tate & Lyle Plc Analyses