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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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
ω const Unconditional variance weight	0.0343	1.64
α ARCH Response to squared shocks	0.0797	8.06***
β GARCH Volatility persistence	0.9052	117.12***

V-Lab

Henkel AG & Co KGaA MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Henkel AG & Co KGaA Analyses