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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	0.0170	1.29
αARCH	0.1892	3.29***
βGARCH	0.9928	470.76***
γleverage	0.0200	0.73

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0170	1.29
α ARCH Response to squared shocks	0.1892	3.29***
β GARCH Volatility persistence	0.9928	470.76***
γ leverage Additional response to negative shocks	0.0200	0.73

V-Lab

US Dollar to Argentine Peso EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Argentine Peso Analyses