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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	0.1646	1.11
αARCH	0.1072	2.19**
βGARCH	0.8667	11.49***
γleverage	0.6306	1.75*
δpower	0.9552	2.49**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1646	1.11
α ARCH Response to squared shocks	0.1072	2.19**
β GARCH Volatility persistence	0.8667	11.49***
γ leverage Additional response to negative shocks	0.6306	1.75*
δ power Transformation power	0.9552	2.49**

V-Lab

Marex Group Ltd APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Marex Group Ltd Analyses