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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	0.5527	4.72***
αARCH	0.2075	3.30***
βGARCH	0.2070	1.60

γ₁	-7.4196	-3.40***
γ₂	12.4143	3.92***
γ₃	-9.3966	-4.54***
γ₄	8.2685	3.90***
γ₅	-7.4207	-3.33***
γ₆	4.2887	2.18**
γ₇	1.8016	1.10
γ₈	-4.9282	-2.88***
γ₉	3.7493	1.45

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5527	4.72***
α ARCH Response to squared shocks	0.2075	3.30***
β GARCH Volatility persistence	0.2070	1.60

γ₁	-7.4196	-3.40***
γ₂	12.4143	3.92***
γ₃	-9.3966	-4.54***
γ₄	8.2685	3.90***
γ₅	-7.4207	-3.33***
γ₆	4.2887	2.18**
γ₇	1.8016	1.10
γ₈	-4.9282	-2.88***
γ₉	3.7493	1.45

V-Lab

PMV Pharmaceuticals Inc Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PMV Pharmaceuticals Inc Analyses