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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	0.9872	4.59***
αARCH	0.1743	3.22***
βGARCH	0.4049	2.76***

γ₁	1.9814	2.17**
γ₂	-3.7897	-2.92***
γ₃	2.4884	2.68***
γ₄	0.8407	0.62
γ₅	-3.7573	-1.42

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9872	4.59***
α ARCH Response to squared shocks	0.1743	3.22***
β GARCH Volatility persistence	0.4049	2.76***

γ₁	1.9814	2.17**
γ₂	-3.7897	-2.92***
γ₃	2.4884	2.68***
γ₄	0.8407	0.62
γ₅	-3.7573	-1.42

V-Lab

Modular Medical Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Modular Medical Inc Analyses