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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
ωconst	0.0395	6.07***
αARCH	0.0714	9.03***
βGARCH	0.9219	111.34***
γleverage	0.4872	5.73***
δpower	1.0457	8.32***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0395	6.07***
α ARCH Response to squared shocks	0.0714	9.03***
β GARCH Volatility persistence	0.9219	111.34***
γ leverage Additional response to negative shocks	0.4872	5.73***
δ power Transformation power	1.0457	8.32***

V-Lab

BASF SE APARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other BASF SE Analyses