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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	0.4766	2.95***
αARCH	0.0640	8.33***
βGARCH	0.9294	117.38***

γ₁	-0.0107	-3.28***
γ₂	0.0125	3.05***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4766	2.95***
α ARCH Response to squared shocks	0.0640	8.33***
β GARCH Volatility persistence	0.9294	117.38***

γ₁	-0.0107	-3.28***
γ₂	0.0125	3.05***

V-Lab

Bloomberg US Government Inflation-Linked Bond Index Total Return Unhedged USD Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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