FAMA FRENCH 3 FACTORS AND VSTOXX

a

b

SMB_t

HML_t

VSTOXX

R²

STOXX EUROPE

0.0102*

0.5360***

−0.3645***

0.7866***

−0.03999***

0.56

FAMA FRENCH 5 FACTORS AND VSTOXX

a

b

SMB_t

HML_t

RMW_t

CMA_t

VSTOXX

R²

STOXX EUROPE

−0.0048*

0.5402***

−0.3193***

1.2676***

1.1905***

0.1205***

−0.0438***

0.59