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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.0397	2.49**
αARCH	0.0840	3.76***
βGARCH	0.9160	50.02***
γleverage	0.2095	0.90
δpower	0.5000	2.00**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0397	2.49**
α ARCH Response to squared shocks	0.0840	3.76***
β GARCH Volatility persistence	0.9160	50.02***
γ leverage Additional response to negative shocks	0.2095	0.90
δ power Transformation power	0.5000	2.00**

V-Lab

Contextlogic Holdings Inc APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Contextlogic Holdings Inc Analyses