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{name} Model Equation

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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	0.0414	3.84***
αARCH	0.0474	5.42***
βGARCH	0.9460	108.64***
γleverage	0.7025	4.01***
δpower	1.2310	7.34***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0414	3.84***
α ARCH Response to squared shocks	0.0474	5.42***
β GARCH Volatility persistence	0.9460	108.64***
γ leverage Additional response to negative shocks	0.7025	4.01***
δ power Transformation power	1.2310	7.34***

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LANXESS AG APARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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