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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	2.0193	2.38**
αARCH	0.2119	2.07**
βGARCH	0.4734	3.27***

γ₁	121.3958	2.99***
γ₂	-143.1635	-2.21**
γ₃	28.1147	0.45
γ₄	-26.2848	-0.36
γ₅	66.4001	0.91
γ₆	-79.4947	-1.51

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0193	2.38**
α ARCH Response to squared shocks	0.2119	2.07**
β GARCH Volatility persistence	0.4734	3.27***

γ₁	121.3958	2.99***
γ₂	-143.1635	-2.21**
γ₃	28.1147	0.45
γ₄	-26.2848	-0.36
γ₅	66.4001	0.91
γ₆	-79.4947	-1.51

V-Lab

CID Holdco Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CID Holdco Inc Analyses