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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	1.2653	6.31***
αARCH	0.0810	8.90***
βGARCH	0.8752	70.33***

γ₁	-0.0202	-0.60
γ₂	0.0872	1.65*
γ₃	-0.1754	-4.25***
γ₄	0.1957	5.33***
γ₅	-0.1238	-2.98***
γ₆	0.0491	0.89
γ₇	-0.0179	-0.35
γ₈	0.0120	0.23
γ₉	0.0357	0.35

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2653	6.31***
α ARCH Response to squared shocks	0.0810	8.90***
β GARCH Volatility persistence	0.8752	70.33***

γ₁	-0.0202	-0.60
γ₂	0.0872	1.65*
γ₃	-0.1754	-4.25***
γ₄	0.1957	5.33***
γ₅	-0.1238	-2.98***
γ₆	0.0491	0.89
γ₇	-0.0179	-0.35
γ₈	0.0120	0.23
γ₉	0.0357	0.35

V-Lab

Microsoft Corp Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Microsoft Corp Analyses