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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	0.5327	7.25***
αARCH	0.0266	5.80***
βGARCH	0.9545	118.13***

γ₁	-0.0482	-2.82***
γ₂	0.0707	2.55**
γ₃	-0.0349	-1.85*
γ₄	0.0144	1.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5327	7.25***
α ARCH Response to squared shocks	0.0266	5.80***
β GARCH Volatility persistence	0.9545	118.13***

γ₁	-0.0482	-2.82***
γ₂	0.0707	2.55**
γ₃	-0.0349	-1.85*
γ₄	0.0144	1.22

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