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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	1.1745	7.57***
αARCH	0.0443	7.85***
βGARCH	0.9461	141.22***

γ₁	0.0033	1.63
γ₂	-0.0041	-1.60

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1745	7.57***
α ARCH Response to squared shocks	0.0443	7.85***
β GARCH Volatility persistence	0.9461	141.22***

γ₁	0.0033	1.63
γ₂	-0.0041	-1.60

V-Lab

Bloomberg Global Treasury Total Return Index Value Hedged USD Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bloomberg Global Treasury Total Return Index Value Hedged USD Analyses