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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	1.2283	7.01***
αARCH	0.0975	7.14***
βGARCH	0.8759	61.13***

γ₁	-0.0121	-1.97**
γ₂	0.0278	3.06***
γ₃	-0.0222	-4.42***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2283	7.01***
α ARCH Response to squared shocks	0.0975	7.14***
β GARCH Volatility persistence	0.8759	61.13***

γ₁	-0.0121	-1.97**
γ₂	0.0278	3.06***
γ₃	-0.0222	-4.42***

V-Lab

NY Harbor ULSD Heating Oil Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NY Harbor ULSD Heating Oil Analyses