FAMA FRENCH 3 FACTORS AND VSTOXX

a

b

SMB_t

HML_t

VSTOXX

R²

STOXX EUROPE

−0.0151*

0.4989***

−0.4600***

0.9510***

−0.0389***

0.52

FAMA FRENCH 5 FACTORS AND VSTOXX

a

b

SMB_t

HML_t

RMW_t

CMA_t

VSTOXX

R²

STOXX EUROPE

−0.00290*

0.5278***

−0.3794***

1.4238***

1.3867***

0.3668***

−0.0432***

0.55