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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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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	2.1091	1.37
αARCH	0.1060	1.88*
βGARCH	0.8425	12.88***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1091	1.37
α ARCH Response to squared shocks	0.1060	1.88*
β GARCH Volatility persistence	0.8425	12.88***

V-Lab

Samhallsbygg I Nor GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Samhallsbygg I Nor Analyses