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{name} Model Equation

How returns affect tomorrow's volatility

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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	66
αARCH	0.0254	1.51
βGARCH	0.6410	3.30***
γleverage	0.0412	1.00
λ₁tau intercept	3.1499	0.64
λ₂forecast adj.	0.1391	0.76
λ₃tau persistence	0.6761	1.47

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0254	1.51
β GARCH Volatility persistence	0.6410	3.30***
γ leverage Additional response to negative shocks	0.0412	1.00
λ₁ tau intercept Baseline long-term coefficient	3.1499	0.64
λ₂ forecast adj. Forecast performance sensitivity	0.1391	0.76
λ₃ tau persistence Long-term factor persistence	0.6761	1.47

V-Lab

Palantir Technologies Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Palantir Technologies Inc Analyses