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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	0.0899	2.55**
αARCH	0.0856	3.24***
βGARCH	0.8864	83.75***
γleverage	0.0525	0.95

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0899	2.55**
α ARCH Response to squared shocks	0.0856	3.24***
β GARCH Volatility persistence	0.8864	83.75***
γ leverage Additional response to negative shocks	0.0525	0.95

V-Lab

Centiel AG GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Centiel AG Analyses