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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	41
αARCH	0.3644	3.23***
βGARCH	0.3978	3.91***
γleverage	-0.2160	-1.67*
λ₁tau intercept	0.4507	1.02
λ₂forecast adj.	0.1285	1.54
λ₃tau persistence	0.8316	7.48***

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.3644	3.23***
β GARCH Volatility persistence	0.3978	3.91***
γ leverage Additional response to negative shocks	-0.2160	-1.67*
λ₁ tau intercept Baseline long-term coefficient	0.4507	1.02
λ₂ forecast adj. Forecast performance sensitivity	0.1285	1.54
λ₃ tau persistence Long-term factor persistence	0.8316	7.48***

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NX Filtration N.V. MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NX Filtration N.V. Analyses