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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	0.0235	5.12***
αARCH	0.0296	3.38***
βGARCH	0.9207	139.76***
γleverage	0.0785	4.52***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0235	5.12***
α ARCH Response to squared shocks	0.0296	3.38***
β GARCH Volatility persistence	0.9207	139.76***
γ leverage Additional response to negative shocks	0.0785	4.52***

V-Lab

S&P Asia 50 CME GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P Asia 50 CME Analyses