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How volatility evolves over time

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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
mwindow	21
αARCH	0.3564	2.95***
βGARCH	0.4370	7.47***
γleverage	-0.2078	-1.75*
λ₁tau intercept	10.0000	0.48
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.8556	3.19***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.3564	2.95***
β GARCH Volatility persistence	0.4370	7.47***
γ leverage Additional response to negative shocks	-0.2078	-1.75*
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.48
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.8556	3.19***

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Mobile-Health Network Soltns MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mobile-Health Network Soltns Analyses