GARCH(1,1) 1-Day Volatility Forecast Calculator

Forecast next-day conditional variance using GARCH(1,1). sigma_t^2 = omega + alpha*epsilon_{t-1}^2 + beta*sigma_{t-1}^2. Multi-period forecasts revert to long-run variance at rate (alpha+beta).

Principal ($)
Annual Rate (%)
Years
Compounding / Year
$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How It Works

Forecast next-day conditional variance using GARCH(1,1). sigma_t^2 = omega + alpha*epsilon_{t-1}^2 + beta*sigma_{t-1}^2. Multi-period forecasts revert to long-run variance at rate (alpha+beta)

Each component has a specific meaning:

  • GARCH(1 — The garch(1 recorded for the scenario being assessed.
  • 1) — The 1) recorded for the scenario being assessed.

Note: Interpret the garch vol forecast result against the thresholds and context described above.

How to Use

Enter the GARCH(1, 1) for the scenario you are assessing. Forecast next-day conditional variance using GARCH(1,1). sigma_t^2 = omega + alpha*epsilon_{t-1}^2 + beta*sigma_{t-1}^2. Multi-period forecasts revert to long-run variance at rate (alpha+beta). Use the garch vol forecast result to inform your calculation.

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Frequently Asked Questions