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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
ωconst	1.2575	6.08***
αARCH	0.0734	8.16***
βGARCH	0.9070	86.86***

γ₁	0.0340	2.19**
γ₂	-0.0602	-2.63***
γ₃	0.0484	3.66***
γ₄	-0.0312	-3.97***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2575	6.08***
α ARCH Response to squared shocks	0.0734	8.16***
β GARCH Volatility persistence	0.9070	86.86***

γ₁	0.0340	2.19**
γ₂	-0.0602	-2.63***
γ₃	0.0484	3.66***
γ₄	-0.0312	-3.97***

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