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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	0.2295	3.80***
βGARCH	0.7056	11.28***
γleverage	-0.1047	-0.77
λ₁tau intercept	10.0000	0.27
λ₂forecast adj.	0.0003	0.01
λ₃tau persistence	0.8655	1.66*

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.2295	3.80***
β GARCH Volatility persistence	0.7056	11.28***
γ leverage Additional response to negative shocks	-0.1047	-0.77
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.27
λ₂ forecast adj. Forecast performance sensitivity	0.0003	0.01
λ₃ tau persistence Long-term factor persistence	0.8655	1.66*

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