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{name} Model Equation

How returns affect tomorrow's volatility

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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
ωconst	0.1236	0.65
αARCH	0.1475	1.59
βGARCH	0.9780	24.17***
γleverage	0.0421	0.48

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1236	0.65
α ARCH Response to squared shocks	0.1475	1.59
β GARCH Volatility persistence	0.9780	24.17***
γ leverage Additional response to negative shocks	0.0421	0.48

V-Lab

TOP Kingwin Ltd EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other TOP Kingwin Ltd Analyses