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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

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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	0.0270	1.81*
αARCH	0.0932	5.98***
βGARCH	0.9857	201.21***
γleverage	-0.0690	-4.92***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0270	1.81*
α ARCH Response to squared shocks	0.0932	5.98***
β GARCH Volatility persistence	0.9857	201.21***
γ leverage Additional response to negative shocks	-0.0690	-4.92***

V-Lab

LANXESS AG EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other LANXESS AG Analyses