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{name} Model Equation

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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	0.0015	3.52***
αARCH	0.0500	7.09***
βGARCH	0.9483	140.12***
γleverage	-0.0348	-0.50

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0015	3.52***
α ARCH Response to squared shocks	0.0500	7.09***
β GARCH Volatility persistence	0.9483	140.12***
γ leverage Additional response to negative shocks	-0.0348	-0.50

V-Lab

Chilean Peso AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Chilean Peso Analyses