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{name} Model Equation

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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	1.2746	6.24***
αARCH	0.0729	8.12***
βGARCH	0.9067	84.23***

γ₁	0.0387	2.49**
γ₂	-0.0698	-3.01***
γ₃	0.0633	4.01***
γ₄	-0.0686	-2.78***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2746	6.24***
α ARCH Response to squared shocks	0.0729	8.12***
β GARCH Volatility persistence	0.9067	84.23***

γ₁	0.0387	2.49**
γ₂	-0.0698	-3.01***
γ₃	0.0633	4.01***
γ₄	-0.0686	-2.78***

V-Lab

Mercedes-Benz Group AG Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mercedes-Benz Group AG Analyses