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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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0339	3.58***
α ARCH Response to squared shocks	0.0795	7.08***
β GARCH Volatility persistence	0.9204	78.27***
γ leverage Additional response to negative shocks	0.1457	1.98**
δ power Transformation power	1.3363	6.56***

V-Lab

Deutsche Telekom AG APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Deutsche Telekom AG Analyses