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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	0.0007	4.38***
αARCH	0.0433	4.69***
βGARCH	0.9296	99.84***
γleverage	0.0281	1.35

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0007	4.38***
α ARCH Response to squared shocks	0.0433	4.69***
β GARCH Volatility persistence	0.9296	99.84***
γ leverage Additional response to negative shocks	0.0281	1.35

V-Lab

Bloomberg Euro Aggregate Bond Index Total Return Value Unhedged EUR GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bloomberg Euro Aggregate Bond Index Total Return Value Unhedged EUR Analyses