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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	0.0975	0.61
αARCH	0.0000	0.00
βGARCH	0.8936	11.54***
γleverage	0.1034	0.64

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0975	0.61
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8936	11.54***
γ leverage Additional response to negative shocks	0.1034	0.64

V-Lab

SEI Select Small CAP ETF GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SEI Select Small CAP ETF Analyses