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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	0.7780	10.27***
αARCH	0.0845	4.35***
βGARCH	0.8475	25.21***

γ₁	0.0149	1.86*
γ₂	-0.0253	-2.44**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7780	10.27***
α ARCH Response to squared shocks	0.0845	4.35***
β GARCH Volatility persistence	0.8475	25.21***

γ₁	0.0149	1.86*
γ₂	-0.0253	-2.44**

V-Lab

Rexford Industrial Realty Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Rexford Industrial Realty Inc Analyses