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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	1.9367	1.03
αARCH	0.0000	0.00
βGARCH	0.8692	18.68***
γleverage	0.1661	1.78*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9367	1.03
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8692	18.68***
γ leverage Additional response to negative shocks	0.1661	1.78*

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Samhallsbygg I Nor GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Samhallsbygg I Nor Analyses