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{name} Model Equation

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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	1.4131	8.57***
αARCH	0.0247	7.54***
βGARCH	0.9716	264.54***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4131	8.57***
α ARCH Response to squared shocks	0.0247	7.54***
β GARCH Volatility persistence	0.9716	264.54***

V-Lab

Croatian Kuna Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Croatian Kuna Analyses