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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	0.6607	6.34***
αARCH	0.0878	7.60***
βGARCH	0.8278	37.98***

γ₁	-0.0773	-2.41**
γ₂	0.1352	2.92***
γ₃	-0.1651	-4.90***
γ₄	0.1879	5.57***
γ₅	-0.1016	-2.92***
γ₆	0.0267	0.68
γ₇	0.0140	0.31
γ₈	-0.0590	-1.18
γ₉	0.1719	2.45**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6607	6.34***
α ARCH Response to squared shocks	0.0878	7.60***
β GARCH Volatility persistence	0.8278	37.98***

γ₁	-0.0773	-2.41**
γ₂	0.1352	2.92***
γ₃	-0.1651	-4.90***
γ₄	0.1879	5.57***
γ₅	-0.1016	-2.92***
γ₆	0.0267	0.68
γ₇	0.0140	0.31
γ₈	-0.0590	-1.18
γ₉	0.1719	2.45**

V-Lab

International Business Machines Corp Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other International Business Machines Corp Analyses