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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
ωlong-run	3.9190	2.29**
αscore	0.0565	25.54***
βpersistence	0.9990	2,356.13***
νDF	3.3261	24.97***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	3.9190	2.29**
α score Weight on the scaled score	0.0565	25.54***
β persistence Volatility persistence	0.9990	2,356.13***
ν DF Student-t tail thickness	3.3261	24.97***

V-Lab

Brazilian Real GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Brazilian Real Analyses