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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	0.3457	2.83***
βGARCH	0.4410	7.45***
γleverage	-0.2066	-1.72*
λ₁tau intercept	10.0000	0.41
λ₂forecast adj.	0.0017	0.14
λ₃tau persistence	0.8478	2.48**

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.3457	2.83***
β GARCH Volatility persistence	0.4410	7.45***
γ leverage Additional response to negative shocks	-0.2066	-1.72*
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.41
λ₂ forecast adj. Forecast performance sensitivity	0.0017	0.14
λ₃ tau persistence Long-term factor persistence	0.8478	2.48**

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Mobile-Health Network Soltns MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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