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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
ωlong-run	125.2638	1.48
αscore	0.1056	12.41***
βpersistence	0.9870	126.02***
νDF	2.2781	51.27***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	125.2638	1.48
α score Weight on the scaled score	0.1056	12.41***
β persistence Volatility persistence	0.9870	126.02***
ν DF Student-t tail thickness	2.2781	51.27***

V-Lab

Shengfeng Development Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Shengfeng Development Ltd Analyses