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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	1.60
αARCH	0.0936	5.34***
βGARCH	0.9329	133.82***
γleverage	-0.0528	-1.92*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0000	1.60
α ARCH Response to squared shocks	0.0936	5.34***
β GARCH Volatility persistence	0.9329	133.82***
γ leverage Additional response to negative shocks	-0.0528	-1.92*

V-Lab

US Dollar to Argentine Peso GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Argentine Peso Analyses