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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.2529	7.11***
αARCH	0.0850	7.31***
βGARCH	0.8502	51.44***

γ₁	0.0289	0.50
γ₂	-0.0003	0.00
γ₃	-0.1123	-1.73*
γ₄	0.2054	3.61***
γ₅	-0.2030	-3.99***
γ₆	0.1166	2.38**
γ₇	-0.0724	-0.99
γ₈	0.1044	1.39
γ₉	-0.1485	-2.58***
γ₁₀	0.1184	2.97***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2529	7.11***
α ARCH Response to squared shocks	0.0850	7.31***
β GARCH Volatility persistence	0.8502	51.44***

γ₁	0.0289	0.50
γ₂	-0.0003	0.00
γ₃	-0.1123	-1.73*
γ₄	0.2054	3.61***
γ₅	-0.2030	-3.99***
γ₆	0.1166	2.38**
γ₇	-0.0724	-0.99
γ₈	0.1044	1.39
γ₉	-0.1485	-2.58***
γ₁₀	0.1184	2.97***

V-Lab

K+S AG Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other K+S AG Analyses