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{name} Model Equation

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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	0.0353	4.33***
αARCH	0.0380	4.52***
βGARCH	0.9351	118.09***
γleverage	0.0295	1.61

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0353	4.33***
α ARCH Response to squared shocks	0.0380	4.52***
β GARCH Volatility persistence	0.9351	118.09***
γ leverage Additional response to negative shocks	0.0295	1.61

V-Lab

Beiersdorf AG GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Beiersdorf AG Analyses