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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.8978	4.46***
αARCH	0.1203	1.70*
βGARCH	0.0796	0.13

γ₁	30.0742	2.72***
γ₂	-57.8743	-3.23***
γ₃	70.1295	3.42***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8978	4.46***
α ARCH Response to squared shocks	0.1203	1.70*
β GARCH Volatility persistence	0.0796	0.13

γ₁	30.0742	2.72***
γ₂	-57.8743	-3.23***
γ₃	70.1295	3.42***

V-Lab

Franklin Ohio Municipal Income ETF Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Franklin Ohio Municipal Income ETF Analyses