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

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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	41.1195	2.85***
αARCH	0.0854	6.40***
βGARCH	0.9514	48.57***
νDF	5.4328	1.41

Parameter	Value	t-statistic
ω const Unconditional variance weight	41.1195	2.85***
α ARCH Response to squared shocks	0.0854	6.40***
β GARCH Volatility persistence	0.9514	48.57***
ν DF Student-t tail thickness	5.4328	1.41

V-Lab

EURO STOXX 50 Volatility Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other EURO STOXX 50 Volatility Index Analyses