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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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0795	7.49***
α ARCH Response to squared shocks	0.1305	7.83***
β GARCH Volatility persistence	0.8091	69.06***
γ leverage Additional response to negative shocks	0.0692	2.74***

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BASF SE Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BASF SE Analyses