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{name} Model Equation

How returns affect tomorrow's volatility

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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
mwindow	36
αARCH	0.0634	1.12
βGARCH	0.9422	24.97***
γleverage	-0.0223	-0.48
λ₁tau intercept	9.7219	1.84*
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0634	1.12
β GARCH Volatility persistence	0.9422	24.97***
γ leverage Additional response to negative shocks	-0.0223	-0.48
λ₁ tau intercept Baseline long-term coefficient	9.7219	1.84*
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Rheinmetall AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Rheinmetall AG Analyses