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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	1.9767	2.93***
αARCH	0.2187	5.13***
βGARCH	0.5311	6.44***

γ₁	-1.9640	-1.61
γ₂	4.2784	2.19**
γ₃	-4.6396	-3.25***
γ₄	4.0387	3.61***
γ₅	-2.6582	-3.22***
γ₆	2.1946	2.99***
γ₇	-2.1216	-3.13***
γ₈	0.8242	1.13
γ₉	0.2492	0.30

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9767	2.93***
α ARCH Response to squared shocks	0.2187	5.13***
β GARCH Volatility persistence	0.5311	6.44***

γ₁	-1.9640	-1.61
γ₂	4.2784	2.19**
γ₃	-4.6396	-3.25***
γ₄	4.0387	3.61***
γ₅	-2.6582	-3.22***
γ₆	2.1946	2.99***
γ₇	-2.1216	-3.13***
γ₈	0.8242	1.13
γ₉	0.2492	0.30

V-Lab

Big Digital Energy Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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