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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.0003	2.64***
αARCH	0.0864	5.15***
βGARCH	0.9043	59.73***
γleverage	0.0360	1.78*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0003	2.64***
α ARCH Response to squared shocks	0.0864	5.15***
β GARCH Volatility persistence	0.9043	59.73***
γ leverage Additional response to negative shocks	0.0360	1.78*

V-Lab

Kuwaiti Dinar AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kuwaiti Dinar Analyses