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	0.2378	3.27***
αARCH	0.0793	10.65***
βGARCH	0.8922	59.15***
γleverage	-1.0000	-42.87***
δpower	0.7881	5.85***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2378	3.27***
α ARCH Response to squared shocks	0.0793	10.65***
β GARCH Volatility persistence	0.8922	59.15***
γ leverage Additional response to negative shocks	-1.0000	-42.87***
δ power Transformation power	0.7881	5.85***

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EURO STOXX 50 Volatility Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other EURO STOXX 50 Volatility Index Analyses