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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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	7.3072	2.61***
αARCH	0.2555	2.81***
βGARCH	0.4339	6.52***
γleverage	4.2283	3.36***

Parameter	Value	t-statistic
ω const Unconditional variance weight	7.3072	2.61***
α ARCH Response to squared shocks	0.2555	2.81***
β GARCH Volatility persistence	0.4339	6.52***
γ leverage Additional response to negative shocks	4.2283	3.36***

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Samhallsbygg I Nor AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Samhallsbygg I Nor Analyses