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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

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	1.1241	5.81***
αARCH	0.0683	8.27***
βGARCH	0.8990	78.28***

γ₁	0.0478	3.13***
γ₂	-0.0880	-3.85***
γ₃	0.0728	5.13***
γ₄	-0.0579	-4.87***
γ₅	0.0542	3.96***
γ₆	-0.0688	-3.02***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1241	5.81***
α ARCH Response to squared shocks	0.0683	8.27***
β GARCH Volatility persistence	0.8990	78.28***

γ₁	0.0478	3.13***
γ₂	-0.0880	-3.85***
γ₃	0.0728	5.13***
γ₄	-0.0579	-4.87***
γ₅	0.0542	3.96***
γ₆	-0.0688	-3.02***

V-Lab

BASF SE Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BASF SE Analyses