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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	5.0000	0.60
αARCH	0.1091	0.71
βGARCH	0.8909	6.85***

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	0.60
α ARCH Response to squared shocks	0.1091	0.71
β GARCH Volatility persistence	0.8909	6.85***

V-Lab

Inlif Ltd GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Inlif Ltd Analyses