DAX Volatility Index

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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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0169	2.66***
α ARCH Response to squared shocks	0.1104	7.26***
β GARCH Volatility persistence	0.9891	314.69***
γ leverage Additional response to negative shocks	-0.0377	-3.49***

V-Lab

Siemens AG EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Siemens AG Analyses