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{name} Model Equation

How returns affect tomorrow's volatility

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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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0380	4.71***
α ARCH Response to squared shocks	0.0351	4.43***
β GARCH Volatility persistence	0.9312	134.08***
γ leverage Additional response to negative shocks	0.0444	2.63***

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RWE AG GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other RWE AG Analyses