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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
ωlong-run	0.4024	1.98**
αscore	0.0271	17.50***
βpersistence	0.9990	2,244.94***
νDF	4.6837	9.70***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	0.4024	1.98**
α score Weight on the scaled score	0.0271	17.50***
β persistence Volatility persistence	0.9990	2,244.94***
ν DF Student-t tail thickness	4.6837	9.70***

V-Lab

Danish Krone GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Danish Krone Analyses