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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	0.0015	3.70***
αARCH	0.0547	4.44***
βGARCH	0.9497	143.35***
γleverage	-0.0128	-0.64

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0015	3.70***
α ARCH Response to squared shocks	0.0547	4.44***
β GARCH Volatility persistence	0.9497	143.35***
γ leverage Additional response to negative shocks	-0.0128	-0.64

V-Lab

Chilean Peso GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Chilean Peso Analyses