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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
mwindow	66
αARCH	0.0793	4.66***
βGARCH	0.6570	14.51***
γleverage	0.1058	2.87***
λ₁tau intercept	0.0225	1.68*
λ₂forecast adj.	0.0464	2.32**
λ₃tau persistence	0.9449	38.77***

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0793	4.66***
β GARCH Volatility persistence	0.6570	14.51***
γ leverage Additional response to negative shocks	0.1058	2.87***
λ₁ tau intercept Baseline long-term coefficient	0.0225	1.68*
λ₂ forecast adj. Forecast performance sensitivity	0.0464	2.32**
λ₃ tau persistence Long-term factor persistence	0.9449	38.77***

V-Lab

Beiersdorf AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Beiersdorf AG Analyses