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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.0936	6.49***
αARCH	0.1197	7.31***
βGARCH	0.7684	27.47***

γ₁	0.0647	5.52***
γ₂	-0.1215	-7.54***
γ₃	0.0839	7.89***
γ₄	-0.0342	-2.94***
γ₅	0.0142	1.08
γ₆	-0.0103	-1.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0936	6.49***
α ARCH Response to squared shocks	0.1197	7.31***
β GARCH Volatility persistence	0.7684	27.47***

γ₁	0.0647	5.52***
γ₂	-0.1215	-7.54***
γ₃	0.0839	7.89***
γ₄	-0.0342	-2.94***
γ₅	0.0142	1.08
γ₆	-0.0103	-1.01

V-Lab

Beiersdorf AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Beiersdorf AG Analyses