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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	0.9173	4.19***
αARCH	0.0726	7.92***
βGARCH	0.9013	75.35***

γ₁	-0.0637	-1.18
γ₂	0.1283	1.56
γ₃	-0.1128	-2.00**
γ₄	0.0278	0.62
γ₅	0.1059	2.40**
γ₆	-0.1570	-3.18***
γ₇	0.0926	2.48**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9173	4.19***
α ARCH Response to squared shocks	0.0726	7.92***
β GARCH Volatility persistence	0.9013	75.35***

γ₁	-0.0637	-1.18
γ₂	0.1283	1.56
γ₃	-0.1128	-2.00**
γ₄	0.0278	0.62
γ₅	0.1059	2.40**
γ₆	-0.1570	-3.18***
γ₇	0.0926	2.48**

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