DAX Volatility Index

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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

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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
mwindow	56
αARCH	0.0677	5.47***
βGARCH	0.8029	35.12***
γleverage	0.0779	3.78***
λ₁tau intercept	0.0321	1.99**
λ₂forecast adj.	0.0328	2.96***
λ₃tau persistence	0.9601	70.99***

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0677	5.47***
β GARCH Volatility persistence	0.8029	35.12***
γ leverage Additional response to negative shocks	0.0779	3.78***
λ₁ tau intercept Baseline long-term coefficient	0.0321	1.99**
λ₂ forecast adj. Forecast performance sensitivity	0.0328	2.96***
λ₃ tau persistence Long-term factor persistence	0.9601	70.99***

V-Lab

Volkswagen AG MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Volkswagen AG Analyses