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{name} Model Equation

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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	41
αARCH	0.0643	5.32***
βGARCH	0.8033	43.57***
γleverage	0.0733	3.78***
λ₁tau intercept	0.0155	1.97**
λ₂forecast adj.	0.0240	2.74***
λ₃tau persistence	0.9697	85.18***

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0643	5.32***
β GARCH Volatility persistence	0.8033	43.57***
γ leverage Additional response to negative shocks	0.0733	3.78***
λ₁ tau intercept Baseline long-term coefficient	0.0155	1.97**
λ₂ forecast adj. Forecast performance sensitivity	0.0240	2.74***
λ₃ tau persistence Long-term factor persistence	0.9697	85.18***

V-Lab

E.ON SE MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other E.ON SE Analyses