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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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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0501	2.83***
β GARCH Volatility persistence	0.6068	8.87***
γ leverage Additional response to negative shocks	0.1421	4.25***
λ₁ tau intercept Baseline long-term coefficient	0.0102	1.89*
λ₂ forecast adj. Forecast performance sensitivity	0.0171	3.70***
λ₃ tau persistence Long-term factor persistence	0.9801	190.12***

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Fresenius Medical Care AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Fresenius Medical Care AG Analyses