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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	8.0851	1.57
αARCH	0.0604	13.63***
βGARCH	0.9988	1,527.25***
νDF	7.7955	1.76*

Parameter	Value	t-statistic
ω const Unconditional variance weight	8.0851	1.57
α ARCH Response to squared shocks	0.0604	13.63***
β GARCH Volatility persistence	0.9988	1,527.25***
ν DF Student-t tail thickness	7.7955	1.76*

V-Lab

S&P Asia 50 CME GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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