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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	1.4982	1.22
αARCH	0.1704	2.67***
βGARCH	0.8231	9.96***
γleverage	0.0131	0.08

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4982	1.22
α ARCH Response to squared shocks	0.1704	2.67***
β GARCH Volatility persistence	0.8231	9.96***
γ leverage Additional response to negative shocks	0.0131	0.08

V-Lab

MindForge Inc Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MindForge Inc Analyses