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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
ωconst	4.8732	0.73
αARCH	0.2358	2.20**
βGARCH	0.6934	7.24***

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.8732	0.73
α ARCH Response to squared shocks	0.2358	2.20**
β GARCH Volatility persistence	0.6934	7.24***

V-Lab

Pineapple Financial Inc MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pineapple Financial Inc Analyses