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{name} Model Equation

How returns affect tomorrow's volatility

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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
ωconst	0.0379	6.18***
αARCH	0.0820	9.41***
βGARCH	0.9140	99.16***
γleverage	0.3543	3.90***
δpower	0.9549	7.24***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0379	6.18***
α ARCH Response to squared shocks	0.0820	9.41***
β GARCH Volatility persistence	0.9140	99.16***
γ leverage Additional response to negative shocks	0.3543	3.90***
δ power Transformation power	0.9549	7.24***

V-Lab

E.ON SE APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other E.ON SE Analyses