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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	5.0000	1.19
αARCH	0.1220	0.94
βGARCH	0.7816	8.91***
γleverage	0.0260	0.09

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	1.19
α ARCH Response to squared shocks	0.1220	0.94
β GARCH Volatility persistence	0.7816	8.91***
γ leverage Additional response to negative shocks	0.0260	0.09

V-Lab

Shengfeng Development Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Shengfeng Development Ltd Analyses