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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

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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
mwindow	66
αARCH	0.0290	1.85*
βGARCH	0.8395	30.93***
γleverage	0.0871	5.65***
λ₁tau intercept	0.0629	1.25
λ₂forecast adj.	0.0644	1.48
λ₃tau persistence	0.9117	14.90***

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0290	1.85*
β GARCH Volatility persistence	0.8395	30.93***
γ leverage Additional response to negative shocks	0.0871	5.65***
λ₁ tau intercept Baseline long-term coefficient	0.0629	1.25
λ₂ forecast adj. Forecast performance sensitivity	0.0644	1.48
λ₃ tau persistence Long-term factor persistence	0.9117	14.90***

V-Lab

DHL AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other DHL AG Analyses