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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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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	1.2281	6.98***
αARCH	0.0966	7.14***
βGARCH	0.8773	61.88***

γ₁	-0.0121	-1.97**
γ₂	0.0278	3.07***
γ₃	-0.0225	-4.48***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2281	6.98***
α ARCH Response to squared shocks	0.0966	7.14***
β GARCH Volatility persistence	0.8773	61.88***

γ₁	-0.0121	-1.97**
γ₂	0.0278	3.07***
γ₃	-0.0225	-4.48***

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