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{name} Model Equation

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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	1.2275	7.00***
αARCH	0.0965	7.13***
βGARCH	0.8774	61.82***

γ₁	-0.0120	-1.96**
γ₂	0.0276	3.06***
γ₃	-0.0223	-4.48***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2275	7.00***
α ARCH Response to squared shocks	0.0965	7.13***
β GARCH Volatility persistence	0.8774	61.82***

γ₁	-0.0120	-1.96**
γ₂	0.0276	3.06***
γ₃	-0.0223	-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