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{name} Model Equation

How returns affect tomorrow's volatility

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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	56
αARCH	0.0644	2.77***
βGARCH	0.8529	29.49***
γleverage	0.1064	2.35**
λ₁tau intercept	9.5596	1.08
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.3019	0.31

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0644	2.77***
β GARCH Volatility persistence	0.8529	29.49***
γ leverage Additional response to negative shocks	0.1064	2.35**
λ₁ tau intercept Baseline long-term coefficient	9.5596	1.08
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.3019	0.31

V-Lab

Landi Renzo SPA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Landi Renzo SPA Analyses