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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	0.9934	4.33***
αARCH	0.0624	9.01***
βGARCH	0.9152	101.51***

γ₁	0.0643	1.88*
γ₂	-0.0414	-0.77
γ₃	-0.0979	-2.57**
γ₄	0.1560	4.68***
γ₅	-0.1414	-4.56***
γ₆	0.1104	3.37***
γ₇	-0.0947	-3.00***
γ₈	0.0615	2.72***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9934	4.33***
α ARCH Response to squared shocks	0.0624	9.01***
β GARCH Volatility persistence	0.9152	101.51***

γ₁	0.0643	1.88*
γ₂	-0.0414	-0.77
γ₃	-0.0979	-2.57**
γ₄	0.1560	4.68***
γ₅	-0.1414	-4.56***
γ₆	0.1104	3.37***
γ₇	-0.0947	-3.00***
γ₈	0.0615	2.72***

V-Lab

Deutsche Bank AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Bank AG Analyses