DAX Volatility Index

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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
ωconst	0.7762	13.00***
αARCH	0.1299	7.17***
βGARCH	0.6805	18.49***

γ₁	0.0017	1.11
γ₂	-0.0064	-2.12**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7762	13.00***
α ARCH Response to squared shocks	0.1299	7.17***
β GARCH Volatility persistence	0.6805	18.49***

γ₁	0.0017	1.11
γ₂	-0.0064	-2.12**

V-Lab

EURO STOXX 50 Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other EURO STOXX 50 Volatility Index Analyses