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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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	1.4082	1.37
αARCH	0.0373	16.03***
βGARCH	0.9975	587.10***
νDF	4.5071	6.67***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4082	1.37
α ARCH Response to squared shocks	0.0373	16.03***
β GARCH Volatility persistence	0.9975	587.10***
ν DF Student-t tail thickness	4.5071	6.67***

V-Lab

S&P GSCI Precious Metals Spot Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Precious Metals Spot Index Analyses