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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	0.9067	6.05***
αARCH	0.1177	6.64***
βGARCH	0.8346	37.99***

γ₁	0.0256	2.08**
γ₂	-0.0563	-2.48**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9067	6.05***
α ARCH Response to squared shocks	0.1177	6.64***
β GARCH Volatility persistence	0.8346	37.99***

γ₁	0.0256	2.08**
γ₂	-0.0563	-2.48**

V-Lab

Deutsche Borse SDAX Performance Index (XETRA) Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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