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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	0.0004	3.03***
αARCH	0.0747	2.49**
βGARCH	0.9083	64.36***
γleverage	0.0226	0.47

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0004	3.03***
α ARCH Response to squared shocks	0.0747	2.49**
β GARCH Volatility persistence	0.9083	64.36***
γ leverage Additional response to negative shocks	0.0226	0.47

V-Lab

US Dollar to Kuwaiti Dinar GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Kuwaiti Dinar Analyses