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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	12.9676	1.31
αARCH	0.0481	7.24***
βGARCH	0.9913	166.85***
νDF	4.9647	2.17**

Parameter	Value	t-statistic
ω const Unconditional variance weight	12.9676	1.31
α ARCH Response to squared shocks	0.0481	7.24***
β GARCH Volatility persistence	0.9913	166.85***
ν DF Student-t tail thickness	4.9647	2.17**

V-Lab

African Rainbow Minerals Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other African Rainbow Minerals Ltd Analyses