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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	0.5217	1.14
αARCH	0.1385	0.04
βGARCH	0.8119	10.16***
γleverage	-1.0000	-0.02
δpower	1.4011	3.03***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5217	1.14
α ARCH Response to squared shocks	0.1385	0.04
β GARCH Volatility persistence	0.8119	10.16***
γ leverage Additional response to negative shocks	-1.0000	-0.02
δ power Transformation power	1.4011	3.03***

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