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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	2.0280	0.60
αARCH	0.0925	1.05
βGARCH	0.9135	11.37***
γleverage	-0.0395	-0.55

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0280	0.60
α ARCH Response to squared shocks	0.0925	1.05
β GARCH Volatility persistence	0.9135	11.37***
γ leverage Additional response to negative shocks	-0.0395	-0.55

V-Lab

TOP Kingwin Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other TOP Kingwin Ltd Analyses