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{name} Model Equation

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Spline Coefficients

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
ωlong-run	1.3618	2.44**
αscore	0.0850	35.92***
βpersistence	0.9981	1,361.61***
νDF	2.9696	65.02***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	1.3618	2.44**
α score Weight on the scaled score	0.0850	35.92***
β persistence Volatility persistence	0.9981	1,361.61***
ν DF Student-t tail thickness	2.9696	65.02***

V-Lab

Colombian Peso GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Colombian Peso Analyses