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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	0.4290	1.75*
αARCH	0.0225	19.50***
βGARCH	0.9979	940.55***
νDF	2.9374	22.64***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4290	1.75*
α ARCH Response to squared shocks	0.0225	19.50***
β GARCH Volatility persistence	0.9979	940.55***
ν DF Student-t tail thickness	2.9374	22.64***

V-Lab

Czech Koruna GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Czech Koruna Analyses