FTSE 100 Implied Volatility Index 30 Days

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EURO STOXX 50 Volatility Index

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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	3.0478	2.86***
αARCH	0.3431	1.54
βGARCH	0.7677	13.37***
γleverage	-0.2216	-0.93

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.0478	2.86***
α ARCH Response to squared shocks	0.3431	1.54
β GARCH Volatility persistence	0.7677	13.37***
γ leverage Additional response to negative shocks	-0.2216	-0.93

V-Lab

Gorilla Techno Gro Inc -Redh GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gorilla Techno Gro Inc -Redh Analyses