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EURO STOXX 50 Volatility Index

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Parameter	Value	t-statistic
ω const Unconditional variance weight	3.8239	20.58***
α ARCH Response to squared shocks	0.1714	18.21***
β GARCH Volatility persistence	0.8089	162.23***
γ leverage Additional response to negative shocks	-0.1713	-17.79***

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EURO STOXX 50 Volatility Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other EURO STOXX 50 Volatility Index Analyses