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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	0.0338	1.01
αARCH	0.0248	2.39**
βGARCH	0.9566	80.06***
γleverage	0.0373	1.59

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0338	1.01
α ARCH Response to squared shocks	0.0248	2.39**
β GARCH Volatility persistence	0.9566	80.06***
γ leverage Additional response to negative shocks	0.0373	1.59

V-Lab

Contextlogic Holdings Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Contextlogic Holdings Inc Analyses