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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	5.0000	1.79*
αARCH	0.0304	0.91
βGARCH	0.8754	13.97***
γleverage	0.0077	0.18

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	1.79*
α ARCH Response to squared shocks	0.0304	0.91
β GARCH Volatility persistence	0.8754	13.97***
γ leverage Additional response to negative shocks	0.0077	0.18

V-Lab

Obsidian Therapeutics Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Obsidian Therapeutics Inc Analyses