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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	1.5882	9.85***
αARCH	0.1338	4.10***
βGARCH	0.5591	7.32***

γ₁	0.4301	4.96***
γ₂	-0.6500	-4.46***
γ₃	0.2186	1.82*
γ₄	0.1358	0.97
γ₅	-0.2525	-1.42
γ₆	0.2170	1.19
γ₇	-0.1908	-1.18
γ₈	0.1881	1.18
γ₉	-0.1493	-1.21

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5882	9.85***
α ARCH Response to squared shocks	0.1338	4.10***
β GARCH Volatility persistence	0.5591	7.32***

γ₁	0.4301	4.96***
γ₂	-0.6500	-4.46***
γ₃	0.2186	1.82*
γ₄	0.1358	0.97
γ₅	-0.2525	-1.42
γ₆	0.2170	1.19
γ₇	-0.1908	-1.18
γ₈	0.1881	1.18
γ₉	-0.1493	-1.21

V-Lab

Huron Consulting Group Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Huron Consulting Group Inc Analyses