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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	0.0351	0.40
αARCH	0.0741	1.71*
βGARCH	0.9912	59.96***
γleverage	-0.0995	-1.95*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0351	0.40
α ARCH Response to squared shocks	0.0741	1.71*
β GARCH Volatility persistence	0.9912	59.96***
γ leverage Additional response to negative shocks	-0.0995	-1.95*

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Samhallsbygg I Nor EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Samhallsbygg I Nor Analyses