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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	0.0460	3.59***
αARCH	0.0680	8.51***
βGARCH	0.9252	100.24***
γleverage	0.3268	4.08***
δpower	1.3401	5.68***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0460	3.59***
α ARCH Response to squared shocks	0.0680	8.51***
β GARCH Volatility persistence	0.9252	100.24***
γ leverage Additional response to negative shocks	0.3268	4.08***
δ power Transformation power	1.3401	5.68***

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Mercedes-Benz Group AG APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mercedes-Benz Group AG Analyses