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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	96
αARCH	0.5000	18.24***
βGARCH	0.0000	0.02
γleverage	-0.5000	-17.21***
λ₁tau intercept	9.9639	2.70***
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.5408	3.25***

Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.5000	18.24***
β GARCH Volatility persistence	0.0000	0.02
γ leverage Additional response to negative shocks	-0.5000	-17.21***
λ₁ tau intercept Baseline long-term coefficient	9.9639	2.70***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.5408	3.25***

V-Lab

Pasqal Holding SA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pasqal Holding SA Analyses