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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	1.2550	4.37***
αARCH	0.0762	8.07***
βGARCH	0.8831	69.94***

γ₁	0.0829	5.71***
γ₂	-0.1297	-6.39***
γ₃	0.0702	5.03***
γ₄	-0.0235	-1.82*
γ₅	-0.0147	-1.09
γ₆	0.0226	2.12**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2550	4.37***
α ARCH Response to squared shocks	0.0762	8.07***
β GARCH Volatility persistence	0.8831	69.94***

γ₁	0.0829	5.71***
γ₂	-0.1297	-6.39***
γ₃	0.0702	5.03***
γ₄	-0.0235	-1.82*
γ₅	-0.0147	-1.09
γ₆	0.0226	2.12**

V-Lab

RWE AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other RWE AG Analyses