How is the long-run variance of GARCH computed?

Sigma_LR^2 = omega / (1 - alpha - beta). This is the unconditional variance that multi-period forecasts converge to. Persistence alpha+beta close to 1 means slow mean reversion.

What are typical parameter values for equity GARCH?

For daily equity returns: omega ≈ 0.00001-0.0001, alpha ≈ 0.05-0.15, beta ≈ 0.80-0.90. Persistence alpha+beta ≈ 0.95-0.99 is typical. Sum close to 1 indicates near-integrated GARCH.

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).

Use the full interactive calculator below, or

Related Calculators

DCC-GARCH Correlation

Finance Ultra-depth

EGARCH Leverage

Finance Ultra-depth

GJR-GARCH Threshold

Finance Ultra-depth

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

Related Calculators

Frequently Asked Questions

How is the long-run variance of GARCH computed?

What are typical parameter values for equity GARCH?