DAX Volatility Index

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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

Spline Coefficients

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	6.3660	1.01
αARCH	0.0624	12.38***
βGARCH	0.9955	219.41***
νDF	6.0981	2.47**

Parameter	Value	t-statistic
ω const Unconditional variance weight	6.3660	1.01
α ARCH Response to squared shocks	0.0624	12.38***
β GARCH Volatility persistence	0.9955	219.41***
ν DF Student-t tail thickness	6.0981	2.47**

V-Lab

Mercedes-Benz Group AG GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mercedes-Benz Group AG Analyses