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{name} Model Equation

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Spline Coefficients

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	0.0023	3.15***
αARCH	0.0357	7.51***
βGARCH	0.9549	182.09***
γleverage	0.1442	3.11***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0023	3.15***
α ARCH Response to squared shocks	0.0357	7.51***
β GARCH Volatility persistence	0.9549	182.09***
γ leverage Additional response to negative shocks	0.1442	3.11***

V-Lab

Australian Dollar AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Australian Dollar Analyses