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{name} Model Equation

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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	5.2282	1.66*
αARCH	0.0756	8.02***
βGARCH	0.9832	89.11***
νDF	5.7293	1.90*

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.2282	1.66*
α ARCH Response to squared shocks	0.0756	8.02***
β GARCH Volatility persistence	0.9832	89.11***
ν DF Student-t tail thickness	5.7293	1.90*

V-Lab

Obayashi Corp GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Obayashi Corp Analyses