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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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	1.33
α ARCH Response to squared shocks	0.1309	2.45**
β GARCH Volatility persistence	0.8537	16.11***
γ leverage Additional response to negative shocks	0.3814	2.95***
δ power Transformation power	1.9552	3.76***

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Samhallsbygg I Nor Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Samhallsbygg I Nor Analyses