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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	1.2738	4.46***
αARCH	0.0417	4.50***
βGARCH	0.9458	84.34***

γ₁	0.0492	3.25***
γ₂	-0.0593	-2.44**
γ₃	0.0002	0.01
γ₄	0.0177	1.43
γ₅	-0.0099	-1.19

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2738	4.46***
α ARCH Response to squared shocks	0.0417	4.50***
β GARCH Volatility persistence	0.9458	84.34***

γ₁	0.0492	3.25***
γ₂	-0.0593	-2.44**
γ₃	0.0002	0.01
γ₄	0.0177	1.43
γ₅	-0.0099	-1.19

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Precious Metals Spot Index Analyses