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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	1.0083	4.45***
αARCH	0.0623	8.99***
βGARCH	0.9152	101.21***

γ₁	0.0674	1.96*
γ₂	-0.0449	-0.83
γ₃	-0.0993	-2.61***
γ₄	0.1604	4.83***
γ₅	-0.1471	-4.77***
γ₆	0.1160	3.54***
γ₇	-0.0996	-2.94***
γ₈	0.0675	1.40

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0083	4.45***
α ARCH Response to squared shocks	0.0623	8.99***
β GARCH Volatility persistence	0.9152	101.21***

γ₁	0.0674	1.96*
γ₂	-0.0449	-0.83
γ₃	-0.0993	-2.61***
γ₄	0.1604	4.83***
γ₅	-0.1471	-4.77***
γ₆	0.1160	3.54***
γ₇	-0.0996	-2.94***
γ₈	0.0675	1.40

V-Lab

Deutsche Bank AG Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Bank AG Analyses