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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	-0.0019	-0.67
αARCH	0.0814	7.84***
βGARCH	0.9952	674.26***
γleverage	0.0128	1.52

Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0019	-0.67
α ARCH Response to squared shocks	0.0814	7.84***
β GARCH Volatility persistence	0.9952	674.26***
γ leverage Additional response to negative shocks	0.0128	1.52

V-Lab

Canadian Dollar EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Canadian Dollar Analyses