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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	119.6053	0.71
αARCH	0.2134	2.87***
βGARCH	0.8967	6.40***
νDF	2.7614	3.05***

Parameter	Value	t-statistic
ω const Unconditional variance weight	119.6053	0.71
α ARCH Response to squared shocks	0.2134	2.87***
β GARCH Volatility persistence	0.8967	6.40***
ν DF Student-t tail thickness	2.7614	3.05***

V-Lab

TOP Kingwin Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other TOP Kingwin Ltd Analyses