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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	111
αARCH	0.0520	4.16***
βGARCH	0.9364	70.71***
γleverage	-0.0326	-2.67***
λ₁tau intercept	0.0810	2.57**
λ₂forecast adj.	0.9524	13.28***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	111
α ARCH Response to squared shocks	0.0520	4.16***
β GARCH Volatility persistence	0.9364	70.71***
γ leverage Additional response to negative shocks	-0.0326	-2.67***
λ₁ tau intercept Baseline long-term coefficient	0.0810	2.57**
λ₂ forecast adj. Forecast performance sensitivity	0.9524	13.28***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

S&P GSCI Precious Metals Spot Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Precious Metals Spot Index Analyses