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EURO STOXX 50 Volatility Index

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{name} Model Equation

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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	0.7323	17.83***
αARCH	0.1288	7.16***
βGARCH	0.6906	19.31***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7323	17.83***
α ARCH Response to squared shocks	0.1288	7.16***
β GARCH Volatility persistence	0.6906	19.31***

V-Lab

EURO STOXX 50 Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other EURO STOXX 50 Volatility Index Analyses