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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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	7.0299	0.69
αARCH	0.1532	3.09***
βGARCH	0.9388	9.61***
νDF	3.0561	2.50**

Parameter	Value	t-statistic
ω const Unconditional variance weight	7.0299	0.69
α ARCH Response to squared shocks	0.1532	3.09***
β GARCH Volatility persistence	0.9388	9.61***
ν DF Student-t tail thickness	3.0561	2.50**

V-Lab

Planetel Spa GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Planetel Spa Analyses