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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	0.4021	0.98
αARCH	0.0267	12.34***
βGARCH	0.9953	190.95***
νDF	3.2748	5.26***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4021	0.98
α ARCH Response to squared shocks	0.0267	12.34***
β GARCH Volatility persistence	0.9953	190.95***
ν DF Student-t tail thickness	3.2748	5.26***

V-Lab

Australian Dollar GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Australian Dollar Analyses