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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	0.0454	3.60***
αARCH	0.0454	4.73***
βGARCH	0.9432	108.15***
γleverage	-0.0969	-1.65*
δpower	2.0568	7.98***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0454	3.60***
α ARCH Response to squared shocks	0.0454	4.73***
β GARCH Volatility persistence	0.9432	108.15***
γ leverage Additional response to negative shocks	-0.0969	-1.65*
δ power Transformation power	2.0568	7.98***

V-Lab

S&P GSCI Nickel Spot Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Nickel Spot Index Analyses