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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	0.0630	1.70*
αARCH	0.0326	0.00
βGARCH	0.9131	24.89***
γleverage	1.0000	0.00
δpower	1.7261	3.11***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0630	1.70*
α ARCH Response to squared shocks	0.0326	0.00
β GARCH Volatility persistence	0.9131	24.89***
γ leverage Additional response to negative shocks	1.0000	0.00
δ power Transformation power	1.7261	3.11***

V-Lab

Fidelity Disruptive Automation ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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