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{name} Model Equation

How returns affect tomorrow's volatility

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Spline Coefficients

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	0.3078	0.96
αARCH	0.3557	0.71
βGARCH	0.1579	0.36
γleverage	0.9729	0.18

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3078	0.96
α ARCH Response to squared shocks	0.3557	0.71
β GARCH Volatility persistence	0.1579	0.36
γ leverage Additional response to negative shocks	0.9729	0.18

V-Lab

Pasqal Holding SA GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pasqal Holding SA Analyses