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{name} Model Equation

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Spline Coefficients

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	0.0059	1.32
αARCH	0.0919	4.01***
βGARCH	0.9925	333.04***
γleverage	0.0279	1.50

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0059	1.32
α ARCH Response to squared shocks	0.0919	4.01***
β GARCH Volatility persistence	0.9925	333.04***
γ leverage Additional response to negative shocks	0.0279	1.50

V-Lab

S&P GSCI Precious Metals Spot Index EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Precious Metals Spot Index Analyses