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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
ωconst	0.8573	8.88***
αARCH	0.0957	1.61
βGARCH	0.7068	4.24***

γ₁	-0.2789	-2.05**
γ₂	0.3695	2.12**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8573	8.88***
α ARCH Response to squared shocks	0.0957	1.61
β GARCH Volatility persistence	0.7068	4.24***

γ₁	-0.2789	-2.05**
γ₂	0.3695	2.12**

V-Lab

TrueShares Eagle Global Next Gen Power Infrastructure ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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