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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	21
αARCH	0.0972	2.94***
βGARCH	0.7881	17.74***
γleverage	0.0240	0.55
λ₁tau intercept	0.0006	1.44
λ₂forecast adj.	0.0178	3.75***
λ₃tau persistence	0.9798	177.20***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0972	2.94***
β GARCH Volatility persistence	0.7881	17.74***
γ leverage Additional response to negative shocks	0.0240	0.55
λ₁ tau intercept Baseline long-term coefficient	0.0006	1.44
λ₂ forecast adj. Forecast performance sensitivity	0.0178	3.75***
λ₃ tau persistence Long-term factor persistence	0.9798	177.20***

V-Lab

US Dollar to Costa Rican Colon MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Costa Rican Colon Analyses