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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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Param	Value	t-stat
ωconst	0.1535	5.57***
αARCH	0.0892	4.42***
βGARCH	0.8395	57.47***
γleverage	0.1037	2.96***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1535	5.57***
α ARCH Response to squared shocks	0.0892	4.42***
β GARCH Volatility persistence	0.8395	57.47***
γ leverage Additional response to negative shocks	0.1037	2.96***

V-Lab

SAP SE GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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