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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
mwindow	71
αARCH	0.0281	3.37***
βGARCH	0.8740	53.89***
γleverage	0.0571	4.53***
λ₁tau intercept	0.0101	1.61
λ₂forecast adj.	0.0146	2.35**
λ₃tau persistence	0.9807	115.99***

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0281	3.37***
β GARCH Volatility persistence	0.8740	53.89***
γ leverage Additional response to negative shocks	0.0571	4.53***
λ₁ tau intercept Baseline long-term coefficient	0.0101	1.61
λ₂ forecast adj. Forecast performance sensitivity	0.0146	2.35**
λ₃ tau persistence Long-term factor persistence	0.9807	115.99***

V-Lab

Henkel AG & Co KGaA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Henkel AG & Co KGaA Analyses