DAX Volatility Index

CBOE EFA ETF Volatility Index

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	4.6668	7.30***
αARCH	0.1398	12.39***
βGARCH	0.6860	66.42***
γleverage	-4.1826	-5.85***

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.6668	7.30***
α ARCH Response to squared shocks	0.1398	12.39***
β GARCH Volatility persistence	0.6860	66.42***
γ leverage Additional response to negative shocks	-4.1826	-5.85***

V-Lab

EURO STOXX 50 Volatility Index AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other EURO STOXX 50 Volatility Index Analyses