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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
ωconst	34.9452	1.47
αARCH	0.0594	16.62***
βGARCH	0.9990	1,359.18***
νDF	6.9177	3.43***

Parameter	Value	t-statistic
ω const Unconditional variance weight	34.9452	1.47
α ARCH Response to squared shocks	0.0594	16.62***
β GARCH Volatility persistence	0.9990	1,359.18***
ν DF Student-t tail thickness	6.9177	3.43***

V-Lab

Infineon Technologies AG GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Infineon Technologies AG Analyses