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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.9363	8.76***
αARCH	0.0505	8.03***
βGARCH	0.9243	100.09***

γ₁	-0.0147	-5.08***
γ₂	0.0238	5.33***
γ₃	-0.0073	-1.33

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9363	8.76***
α ARCH Response to squared shocks	0.0505	8.03***
β GARCH Volatility persistence	0.9243	100.09***

γ₁	-0.0147	-5.08***
γ₂	0.0238	5.33***
γ₃	-0.0073	-1.33

V-Lab

Applied Materials Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Applied Materials Inc Analyses