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How volatility evolves over time

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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
mwindow	126
αARCH	0.1438	2.52**
βGARCH	0.4228	3.21***
γleverage	0.3202	1.65*
λ₁tau intercept	0.0753	0.19
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.9995	107.39***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1438	2.52**
β GARCH Volatility persistence	0.4228	3.21***
γ leverage Additional response to negative shocks	0.3202	1.65*
λ₁ tau intercept Baseline long-term coefficient	0.0753	0.19
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9995	107.39***

V-Lab

Obsidian Therapeutics Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Obsidian Therapeutics Inc Analyses