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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	0.2237	1.83*
αARCH	0.3366	3.31***
βGARCH	0.9608	44.52***
γleverage	0.0586	0.68

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2237	1.83*
α ARCH Response to squared shocks	0.3366	3.31***
β GARCH Volatility persistence	0.9608	44.52***
γ leverage Additional response to negative shocks	0.0586	0.68

V-Lab

MindForge Inc EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MindForge Inc Analyses