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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	0.0025	2.97***
αARCH	0.1251	3.17***
βGARCH	0.8572	37.71***
γleverage	-0.0057	-0.09

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0025	2.97***
α ARCH Response to squared shocks	0.1251	3.17***
β GARCH Volatility persistence	0.8572	37.71***
γ leverage Additional response to negative shocks	-0.0057	-0.09

V-Lab

Egyptian Pound GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Egyptian Pound Analyses