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	0.1889	8.47***
βGARCH	0.7214	24.61***
γleverage	-0.1889	-6.24***
λ₁tau intercept	0.3719	1.72*
λ₂forecast adj.	0.0203	2.88***
λ₃tau persistence	0.9699	80.53***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1889	8.47***
β GARCH Volatility persistence	0.7214	24.61***
γ leverage Additional response to negative shocks	-0.1889	-6.24***
λ₁ tau intercept Baseline long-term coefficient	0.3719	1.72*
λ₂ forecast adj. Forecast performance sensitivity	0.0203	2.88***
λ₃ tau persistence Long-term factor persistence	0.9699	80.53***

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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