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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
mwindow	26
αARCH	0.3235
βGARCH	0.1262
γleverage	0.4999
λ₁tau intercept	0.0037
λ₂forecast adj.	0.0011
λ₃tau persistence	0.0039

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.3235
β GARCH Volatility persistence	0.1262
γ leverage Additional response to negative shocks	0.4999
λ₁ tau intercept Baseline long-term coefficient	0.0037
λ₂ forecast adj. Forecast performance sensitivity	0.0011
λ₃ tau persistence Long-term factor persistence	0.0039

V-Lab

Sterling Capital Multi-Strategy Income ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sterling Capital Multi-Strategy Income ETF Analyses