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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
mwindow	36
αARCH	0.0063	0.80
βGARCH	0.8008	18.12***
γleverage	0.0548	3.88***
λ₁tau intercept	0.0012	2.50**
λ₂forecast adj.	0.0371	5.02***
λ₃tau persistence	0.9586	116.63***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0063	0.80
β GARCH Volatility persistence	0.8008	18.12***
γ leverage Additional response to negative shocks	0.0548	3.88***
λ₁ tau intercept Baseline long-term coefficient	0.0012	2.50**
λ₂ forecast adj. Forecast performance sensitivity	0.0371	5.02***
λ₃ tau persistence Long-term factor persistence	0.9586	116.63***

V-Lab

US Dollar to Swiss Franc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Swiss Franc Analyses