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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	1.2619	0.00
αARCH	0.0000	0.00
βGARCH	1.0000	0.00

γ₁	66.1851	0.00
γ₂	-147.7497	-0.29
γ₃	138.3496	0.28

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2619	0.00
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	1.0000	0.00

γ₁	66.1851	0.00
γ₂	-147.7497	-0.29
γ₃	138.3496	0.28

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Estun Automation Co Ltd Spline-GARCH Volatility Analysis

Date Range:

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