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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
ωconst	4.3407	2.55**
αARCH	0.1000	1.46
βGARCH	0.7352	8.50***
γleverage	-0.0660	-0.83

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.3407	2.55**
α ARCH Response to squared shocks	0.1000	1.46
β GARCH Volatility persistence	0.7352	8.50***
γ leverage Additional response to negative shocks	-0.0660	-0.83

V-Lab

BARK Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BARK Inc Analyses