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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	64.1923	0.79
αARCH	0.0925	3.24***
βGARCH	0.9539	15.98***
νDF	3.2685	1.58

Parameter	Value	t-statistic
ω const Unconditional variance weight	64.1923	0.79
α ARCH Response to squared shocks	0.0925	3.24***
β GARCH Volatility persistence	0.9539	15.98***
ν DF Student-t tail thickness	3.2685	1.58

V-Lab

ZJK Industrial Co Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ZJK Industrial Co Ltd Analyses