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How volatility evolves over time

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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
mwindow	56
αARCH	0.0536	5.31***
βGARCH	0.8234	44.12***
γleverage	0.1028	5.99***
λ₁tau intercept	0.0355	2.05**
λ₂forecast adj.	0.0343	2.66***
λ₃tau persistence	0.9574	60.88***

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0536	5.31***
β GARCH Volatility persistence	0.8234	44.12***
γ leverage Additional response to negative shocks	0.1028	5.99***
λ₁ tau intercept Baseline long-term coefficient	0.0355	2.05**
λ₂ forecast adj. Forecast performance sensitivity	0.0343	2.66***
λ₃ tau persistence Long-term factor persistence	0.9574	60.88***

V-Lab

HeidelbergCement AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other HeidelbergCement AG Analyses