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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	0.5330	7.27***
αARCH	0.0265	5.79***
βGARCH	0.9545	117.87***

γ₁	-0.0480	-2.83***
γ₂	0.0705	2.56**
γ₃	-0.0352	-1.88*
γ₄	0.0147	1.26

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5330	7.27***
α ARCH Response to squared shocks	0.0265	5.79***
β GARCH Volatility persistence	0.9545	117.87***

γ₁	-0.0480	-2.83***
γ₂	0.0705	2.56**
γ₃	-0.0352	-1.88*
γ₄	0.0147	1.26

V-Lab

CME Feeder Cattle Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CME Feeder Cattle Analyses