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How volatility evolves over time

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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	0.0079	3.62***
αARCH	0.0402	4.59***
βGARCH	0.9442	172.15***
γleverage	0.0236	1.27

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0079	3.62***
α ARCH Response to squared shocks	0.0402	4.59***
β GARCH Volatility persistence	0.9442	172.15***
γ leverage Additional response to negative shocks	0.0236	1.27

V-Lab

30Y US Treasury 30 Year Zero Coupon Yield Continuously Compounded GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 30Y US Treasury 30 Year Zero Coupon Yield Continuously Compounded Analyses