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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

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	0.0304	4.46***
αARCH	0.0630	6.99***
βGARCH	0.9370	123.75***
γleverage	0.2610	2.93***
δpower	1.2196	7.18***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0304	4.46***
α ARCH Response to squared shocks	0.0630	6.99***
β GARCH Volatility persistence	0.9370	123.75***
γ leverage Additional response to negative shocks	0.2610	2.93***
δ power Transformation power	1.2196	7.18***

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Deutsche Bank AG APARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Bank AG Analyses