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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	51.2892	0.73
αARCH	0.0779	7.08***
βGARCH	0.9800	42.83***
νDF	2.7298	4.95***

Parameter	Value	t-statistic
ω const Unconditional variance weight	51.2892	0.73
α ARCH Response to squared shocks	0.0779	7.08***
β GARCH Volatility persistence	0.9800	42.83***
ν DF Student-t tail thickness	2.7298	4.95***

V-Lab

Samhallsbygg I Nor GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Samhallsbygg I Nor Analyses