DAX Volatility Index

CBOE EFA ETF Volatility Index

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
mwindow	26
αARCH	0.1896	8.47***
βGARCH	0.7209	24.59***
γleverage	-0.1896	-6.25***
λ₁tau intercept	0.3739	1.72*
λ₂forecast adj.	0.0204	2.87***
λ₃tau persistence	0.9698	79.95***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1896	8.47***
β GARCH Volatility persistence	0.7209	24.59***
γ leverage Additional response to negative shocks	-0.1896	-6.25***
λ₁ tau intercept Baseline long-term coefficient	0.3739	1.72*
λ₂ forecast adj. Forecast performance sensitivity	0.0204	2.87***
λ₃ tau persistence Long-term factor persistence	0.9698	79.95***

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EURO STOXX 50 Volatility Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other EURO STOXX 50 Volatility Index Analyses