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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

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
ωlong-run	19.3358	2.51**
αscore	0.3279	25.45***
βpersistence	0.9980	1,276.22***
νDF	8.5892	5.21***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	19.3358	2.51**
α score Weight on the scaled score	0.3279	25.45***
β persistence Volatility persistence	0.9980	1,276.22***
ν DF Student-t tail thickness	8.5892	5.21***

V-Lab

BDI Baltic Exchange Dry Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BDI Baltic Exchange Dry Index Analyses