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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	0.6897	6.54***
αARCH	0.0700	5.92***
βGARCH	0.8830	43.75***

γ₁	-0.0394	-4.06***
γ₂	0.0663	4.79***
γ₃	-0.0387	-5.53***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6897	6.54***
α ARCH Response to squared shocks	0.0700	5.92***
β GARCH Volatility persistence	0.8830	43.75***

γ₁	-0.0394	-4.06***
γ₂	0.0663	4.79***
γ₃	-0.0387	-5.53***

V-Lab

LANXESS AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other LANXESS AG Analyses