FTSE 100 Implied Volatility Index 30 Days

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{name} Model Equation

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Spline Coefficients

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	0.4426	1.74*
αARCH	0.2767	2.46**
βGARCH	0.7233	5.93***
γleverage	-0.2723	-0.93
δpower	0.7062	1.96*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4426	1.74*
α ARCH Response to squared shocks	0.2767	2.46**
β GARCH Volatility persistence	0.7233	5.93***
γ leverage Additional response to negative shocks	-0.2723	-0.93
δ power Transformation power	0.7062	1.96*

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Gorilla Techno Gro Inc -Redh APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gorilla Techno Gro Inc -Redh Analyses