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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
mwindow	36
αARCH	0.0754	1.71*
βGARCH	0.6746	124.53***
γleverage	0.5000	5.10***
λ₁tau intercept	9.7661	0.85
λ₂forecast adj.	0.2004	0.88
λ₃tau persistence	0.7996	3.55***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0754	1.71*
β GARCH Volatility persistence	0.6746	124.53***
γ leverage Additional response to negative shocks	0.5000	5.10***
λ₁ tau intercept Baseline long-term coefficient	9.7661	0.85
λ₂ forecast adj. Forecast performance sensitivity	0.2004	0.88
λ₃ tau persistence Long-term factor persistence	0.7996	3.55***

V-Lab

Allurion Technologies Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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