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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	1.3975	2.27**
αARCH	0.1331	10.52***
βGARCH	0.8668	68.42***

γ₁	-0.1869	-2.67***
γ₂	0.2762	2.62***
γ₃	-0.1616	-2.45**
γ₄	0.2385	4.46***
γ₅	-0.2777	-2.97***
γ₆	-0.0183	-0.14
γ₇	0.2711	2.37**
γ₈	-0.1620	-2.68***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3975	2.27**
α ARCH Response to squared shocks	0.1331	10.52***
β GARCH Volatility persistence	0.8668	68.42***

γ₁	-0.1869	-2.67***
γ₂	0.2762	2.62***
γ₃	-0.1616	-2.45**
γ₄	0.2385	4.46***
γ₅	-0.2777	-2.97***
γ₆	-0.0183	-0.14
γ₇	0.2711	2.37**
γ₈	-0.1620	-2.68***

V-Lab

6M US Treasury CMT 6 Month Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 6M US Treasury CMT 6 Month Analyses