DAX Volatility Index

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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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Param	Value	t-stat
ωconst	0.9259	4.23***
αARCH	0.0726	7.93***
βGARCH	0.9015	75.59***

γ₁	-0.0622	-1.15
γ₂	0.1262	1.52
γ₃	-0.1106	-1.93*
γ₄	0.0232	0.51
γ₅	0.1118	2.47**
γ₆	-0.1614	-3.22***
γ₇	0.0943	2.52**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9259	4.23***
α ARCH Response to squared shocks	0.0726	7.93***
β GARCH Volatility persistence	0.9015	75.59***

γ₁	-0.0622	-1.15
γ₂	0.1262	1.52
γ₃	-0.1106	-1.93*
γ₄	0.0232	0.51
γ₅	0.1118	2.47**
γ₆	-0.1614	-3.22***
γ₇	0.0943	2.52**

V-Lab

Mercedes-Benz Group AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mercedes-Benz Group AG Analyses