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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	1.2696	4.46***
αARCH	0.0413	4.49***
βGARCH	0.9463	84.88***

γ₁	0.0488	3.27***
γ₂	-0.0590	-2.46**
γ₃	0.0002	0.01
γ₄	0.0183	1.49
γ₅	-0.0108	-1.32

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2696	4.46***
α ARCH Response to squared shocks	0.0413	4.49***
β GARCH Volatility persistence	0.9463	84.88***

γ₁	0.0488	3.27***
γ₂	-0.0590	-2.46**
γ₃	0.0002	0.01
γ₄	0.0183	1.49
γ₅	-0.0108	-1.32

V-Lab

S&P GSCI Precious Metals Spot Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Precious Metals Spot Index Analyses