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{name} Model Equation

How returns affect tomorrow's volatility

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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	1.9738	1.45
αARCH	0.1458	8.95***
βGARCH	0.8529	54.16***

γ₁	0.4925	0.62
γ₂	0.7162	0.62
γ₃	-2.2937	-2.69***
γ₄	1.4391	2.39**
γ₅	-0.7359	-2.17**
γ₆	0.2481	0.94
γ₇	0.3566	1.60
γ₈	0.0140	0.06
γ₉	-0.3623	-1.74*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9738	1.45
α ARCH Response to squared shocks	0.1458	8.95***
β GARCH Volatility persistence	0.8529	54.16***

γ₁	0.4925	0.62
γ₂	0.7162	0.62
γ₃	-2.2937	-2.69***
γ₄	1.4391	2.39**
γ₅	-0.7359	-2.17**
γ₆	0.2481	0.94
γ₇	0.3566	1.60
γ₈	0.0140	0.06
γ₉	-0.3623	-1.74*

V-Lab

1M US Treasury CMT 1 Month Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 1M US Treasury CMT 1 Month Analyses