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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.0385	1.97**
αARCH	0.1066	5.10***
βGARCH	0.9948	262.83***
γleverage	-0.0152	-0.60

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0385	1.97**
α ARCH Response to squared shocks	0.1066	5.10***
β GARCH Volatility persistence	0.9948	262.83***
γ leverage Additional response to negative shocks	-0.0152	-0.60

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