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How volatility evolves over time

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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
mwindow	21
αARCH	0.6414	3.83***
βGARCH	0.6084	8.31***
γleverage	-0.5000	-2.23**
λ₁tau intercept	10.0000	1.01
λ₂forecast adj.	0.0824	1.54
λ₃tau persistence	0.9176	19.57***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.6414	3.83***
β GARCH Volatility persistence	0.6084	8.31***
γ leverage Additional response to negative shocks	-0.5000	-2.23**
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.01
λ₂ forecast adj. Forecast performance sensitivity	0.0824	1.54
λ₃ tau persistence Long-term factor persistence	0.9176	19.57***

V-Lab

Calidi Biotherapeutics Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Calidi Biotherapeutics Inc Analyses