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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	0.6675	10.17***
αARCH	0.0598	6.79***
βGARCH	0.9075	61.47***

γ₁	-0.0111	-4.46***
γ₂	0.0137	3.69***
γ₃	0.0014	0.43

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6675	10.17***
α ARCH Response to squared shocks	0.0598	6.79***
β GARCH Volatility persistence	0.9075	61.47***

γ₁	-0.0111	-4.46***
γ₂	0.0137	3.69***
γ₃	0.0014	0.43

V-Lab

S&P GSCI Coffee Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Coffee Index Analyses