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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	-0.0333	-2.05**
αARCH	0.3187	5.67***
βGARCH	0.9716	105.41***
γleverage	0.0026	0.13

Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0333	-2.05**
α ARCH Response to squared shocks	0.3187	5.67***
β GARCH Volatility persistence	0.9716	105.41***
γ leverage Additional response to negative shocks	0.0026	0.13

V-Lab

US Dollar to Malaysian Ringgit EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Malaysian Ringgit Analyses