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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
mwindow	71
αARCH	0.2298	3.79***
βGARCH	0.7041	11.44***
γleverage	-0.1015	-0.75
λ₁tau intercept	10.0000	0.28
λ₂forecast adj.	0.0009	0.02
λ₃tau persistence	0.8644	1.68*

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.2298	3.79***
β GARCH Volatility persistence	0.7041	11.44***
γ leverage Additional response to negative shocks	-0.1015	-0.75
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.28
λ₂ forecast adj. Forecast performance sensitivity	0.0009	0.02
λ₃ tau persistence Long-term factor persistence	0.8644	1.68*

V-Lab

Gorilla Techno Gro Inc -Redh MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gorilla Techno Gro Inc -Redh Analyses