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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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Spline Coefficients

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	6.99***
αARCH	0.0972	7.14***
βGARCH	0.8765	61.51***

γ₁	-0.0122	-1.97**
γ₂	0.0278	3.07***
γ₃	-0.0224	-4.45***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2283	6.99***
α ARCH Response to squared shocks	0.0972	7.14***
β GARCH Volatility persistence	0.8765	61.51***

γ₁	-0.0122	-1.97**
γ₂	0.0278	3.07***
γ₃	-0.0224	-4.45***

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