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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	16.0133	0.78
αARCH	0.1874	3.18***
βGARCH	0.9482	15.12***
νDF	3.7979	1.62

Parameter	Value	t-statistic
ω const Unconditional variance weight	16.0133	0.78
α ARCH Response to squared shocks	0.1874	3.18***
β GARCH Volatility persistence	0.9482	15.12***
ν DF Student-t tail thickness	3.7979	1.62

V-Lab

Mount Logan Capital Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mount Logan Capital Inc Analyses