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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	0.0452	3.94***
αARCH	0.0256	4.00***
βGARCH	0.9522	147.12***
γleverage	0.0177	1.40

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0452	3.94***
α ARCH Response to squared shocks	0.0256	4.00***
β GARCH Volatility persistence	0.9522	147.12***
γ leverage Additional response to negative shocks	0.0177	1.40

V-Lab

Merck KGaA GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Merck KGaA Analyses