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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
ωconst	0.7954	3.78***
αARCH	0.0786	8.54***
βGARCH	0.9066	98.95***

γ₁	0.0063	0.72
γ₂	-0.0194	-1.64
γ₃	0.0256	3.96***
γ₄	-0.0180	-3.98***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7954	3.78***
α ARCH Response to squared shocks	0.0786	8.54***
β GARCH Volatility persistence	0.9066	98.95***

γ₁	0.0063	0.72
γ₂	-0.0194	-1.64
γ₃	0.0256	3.96***
γ₄	-0.0180	-3.98***

V-Lab

S&P GSCI All Crude Spot Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI All Crude Spot Index Analyses