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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	0.7327	17.82***
αARCH	0.1291	7.16***
βGARCH	0.6901	19.28***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7327	17.82***
α ARCH Response to squared shocks	0.1291	7.16***
β GARCH Volatility persistence	0.6901	19.28***

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