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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

Spline Coefficients

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	0.6192	6.56***
αARCH	0.0597	5.14***
βGARCH	0.9073	44.49***

γ₁	-0.0253	-3.50***
γ₂	0.0258	2.53**
γ₃	0.0098	1.52
γ₄	-0.0283	-2.73***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6192	6.56***
α ARCH Response to squared shocks	0.0597	5.14***
β GARCH Volatility persistence	0.9073	44.49***

γ₁	-0.0253	-3.50***
γ₂	0.0258	2.53**
γ₃	0.0098	1.52
γ₄	-0.0283	-2.73***

V-Lab

Fresenius SE & Co KGaA Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Fresenius SE & Co KGaA Analyses