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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
mwindow	126
αARCH	0.1987	3.38***
βGARCH	0.7172	20.34***
γleverage	0.1550	1.25
λ₁tau intercept	10.0000	0.69
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.9898	29.95***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1987	3.38***
β GARCH Volatility persistence	0.7172	20.34***
γ leverage Additional response to negative shocks	0.1550	1.25
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.69
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9898	29.95***

V-Lab

Pineapple Financial Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pineapple Financial Inc Analyses