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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
αARCH	0.1132	3.10***
βGARCH	0.8727	16.41***
γleverage	-0.0136	-0.16
λ₁tau intercept	120.4917

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1132	3.10***
β GARCH Volatility persistence	0.8727	16.41***
γ leverage Additional response to negative shocks	-0.0136	-0.16
λ₁ tau intercept Baseline long-term coefficient	120.4917

V-Lab

MindForge Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MindForge Inc Analyses