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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	0.0338	7.30***
αARCH	0.1969	16.61***
βGARCH	0.7948	74.75***
γleverage	0.0825	3.35***
δpower	0.5714	3.41***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0338	7.30***
α ARCH Response to squared shocks	0.1969	16.61***
β GARCH Volatility persistence	0.7948	74.75***
γ leverage Additional response to negative shocks	0.0825	3.35***
δ power Transformation power	0.5714	3.41***

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Deutsche Bank AG Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Bank AG Analyses