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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	0.0305	8.83***
αARCH	0.3050	9.43***
βGARCH	0.7014	37.03***
γleverage	-0.0128	-0.43

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0305	8.83***
α ARCH Response to squared shocks	0.3050	9.43***
β GARCH Volatility persistence	0.7014	37.03***
γ leverage Additional response to negative shocks	-0.0128	-0.43

V-Lab

BDI Baltic Exchange Dry Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BDI Baltic Exchange Dry Index Analyses