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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	0.6734	8.40***
αARCH	0.0594	5.34***
βGARCH	0.9159	69.61***

γ₁	-0.0060	-4.78***
γ₂	0.0077	4.90***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6734	8.40***
α ARCH Response to squared shocks	0.0594	5.34***
β GARCH Volatility persistence	0.9159	69.61***

γ₁	-0.0060	-4.78***
γ₂	0.0077	4.90***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Nickel Spot Index Analyses