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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	0.2430	1.14
αARCH	0.2384	3.15***
βGARCH	0.7616	8.85***
γleverage	0.0457	0.26
δpower	1.0102	1.45

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2430	1.14
α ARCH Response to squared shocks	0.2384	3.15***
β GARCH Volatility persistence	0.7616	8.85***
γ leverage Additional response to negative shocks	0.0457	0.26
δ power Transformation power	1.0102	1.45

V-Lab

Mount Logan Capital Inc APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mount Logan Capital Inc Analyses