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{name} Model Equation

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Spline Coefficients

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	7.3939	0.84
αARCH	0.0941	0.92
βGARCH	0.8948	8.26***
νDF	4.3683	0.36

Parameter	Value	t-statistic
ω const Unconditional variance weight	7.3939	0.84
α ARCH Response to squared shocks	0.0941	0.92
β GARCH Volatility persistence	0.8948	8.26***
ν DF Student-t tail thickness	4.3683	0.36

V-Lab

Marex Group Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Marex Group Ltd Analyses