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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	0.9822	5.29***
αARCH	0.0465	7.80***
βGARCH	0.9465	148.81***

γ₁	0.0035	1.89*
γ₂	-0.0051	-2.19**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9822	5.29***
α ARCH Response to squared shocks	0.0465	7.80***
β GARCH Volatility persistence	0.9465	148.81***

γ₁	0.0035	1.89*
γ₂	-0.0051	-2.19**

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Platinum Index Analyses