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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
ωconst	580.0592	0.64
αARCH	0.2504	9.72***
βGARCH	0.9499	13.20***
νDF	2.2222	18.34***

Parameter	Value	t-statistic
ω const Unconditional variance weight	580.0592	0.64
α ARCH Response to squared shocks	0.2504	9.72***
β GARCH Volatility persistence	0.9499	13.20***
ν DF Student-t tail thickness	2.2222	18.34***

V-Lab

Inlif Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Inlif Ltd Analyses