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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
mwindow	61
αARCH	0.0357	3.44***
βGARCH	0.8816	57.31***
γleverage	0.0662	4.41***
λ₁tau intercept	0.0283	1.16
λ₂forecast adj.	0.0289	1.93*
λ₃tau persistence	0.9633	47.64***

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0357	3.44***
β GARCH Volatility persistence	0.8816	57.31***
γ leverage Additional response to negative shocks	0.0662	4.41***
λ₁ tau intercept Baseline long-term coefficient	0.0283	1.16
λ₂ forecast adj. Forecast performance sensitivity	0.0289	1.93*
λ₃ tau persistence Long-term factor persistence	0.9633	47.64***

V-Lab

Mercedes-Benz Group AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mercedes-Benz Group AG Analyses