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{name} Model Equation

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Param	Value	t-stat
mwindow	31
αARCH	0.0810	3.41***
βGARCH	0.4786	6.02***
γleverage	0.3459	2.82***
λ₁tau intercept	0.0305	0.79
λ₂forecast adj.	0.0074	2.51**
λ₃tau persistence	0.9910	275.27***

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0810	3.41***
β GARCH Volatility persistence	0.4786	6.02***
γ leverage Additional response to negative shocks	0.3459	2.82***
λ₁ tau intercept Baseline long-term coefficient	0.0305	0.79
λ₂ forecast adj. Forecast performance sensitivity	0.0074	2.51**
λ₃ tau persistence Long-term factor persistence	0.9910	275.27***

V-Lab

ams-OSRAM AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ams-OSRAM AG Analyses