DAX Volatility Index

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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

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	0.0202	2.95***
αARCH	0.0836	7.46***
βGARCH	0.9879	260.59***
γleverage	-0.0220	-1.76*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0202	2.95***
α ARCH Response to squared shocks	0.0836	7.46***
β GARCH Volatility persistence	0.9879	260.59***
γ leverage Additional response to negative shocks	-0.0220	-1.76*

V-Lab

Merck KGaA EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Merck KGaA Analyses