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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	0.3984	3.10***
αARCH	0.1509	4.10***
βGARCH	0.6628	9.90***

γ₁	-1.6447	-1.84*
γ₂	3.3655	2.55**
γ₃	-3.0066	-2.43**
γ₄	0.9769	0.66
γ₅	1.2612	1.08
γ₆	-1.7479	-2.32**
γ₇	1.2253	1.75*
γ₈	-0.9809	-1.02

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3984	3.10***
α ARCH Response to squared shocks	0.1509	4.10***
β GARCH Volatility persistence	0.6628	9.90***

γ₁	-1.6447	-1.84*
γ₂	3.3655	2.55**
γ₃	-3.0066	-2.43**
γ₄	0.9769	0.66
γ₅	1.2612	1.08
γ₆	-1.7479	-2.32**
γ₇	1.2253	1.75*
γ₈	-0.9809	-1.02

V-Lab

Ponce Financial Group Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ponce Financial Group Inc Analyses