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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	0.0232	4.98***
αARCH	0.0498	8.36***
βGARCH	0.9502	149.40***
γleverage	0.6480	4.81***
δpower	0.7831	6.51***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0232	4.98***
α ARCH Response to squared shocks	0.0498	8.36***
β GARCH Volatility persistence	0.9502	149.40***
γ leverage Additional response to negative shocks	0.6480	4.81***
δ power Transformation power	0.7831	6.51***

V-Lab

Bayer AG APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bayer AG Analyses