DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{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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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0357	3.44***
β GARCH Volatility persistence	0.8821	57.46***
γ leverage Additional response to negative shocks	0.0656	4.37***
λ₁ tau intercept Baseline long-term coefficient	0.0283	1.16
λ₂ forecast adj. Forecast performance sensitivity	0.0290	1.92*
λ₃ tau persistence Long-term factor persistence	0.9632	47.33***

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Mercedes-Benz Group AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mercedes-Benz Group AG Analyses