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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	46
αARCH	0.3785	4.15***
βGARCH	0.4885	5.26***
γleverage	-0.1587	-1.73*
λ₁tau intercept	10.0000	0.73
λ₂forecast adj.	0.0981	0.74
λ₃tau persistence	0.7615	2.41**

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.3785	4.15***
β GARCH Volatility persistence	0.4885	5.26***
γ leverage Additional response to negative shocks	-0.1587	-1.73*
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.73
λ₂ forecast adj. Forecast performance sensitivity	0.0981	0.74
λ₃ tau persistence Long-term factor persistence	0.7615	2.41**

V-Lab

Azio AI Holdings Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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