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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	0.0000	1.25
αARCH	0.0653	6.48***
βGARCH	0.9297	100.93***
γleverage	-0.1942	-1.56
δpower	2.0841	8.36***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0000	1.25
α ARCH Response to squared shocks	0.0653	6.48***
β GARCH Volatility persistence	0.9297	100.93***
γ leverage Additional response to negative shocks	-0.1942	-1.56
δ power Transformation power	2.0841	8.36***

V-Lab

US Dollar to Argentine Peso APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Argentine Peso Analyses