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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	1.4448	1.93*
αARCH	0.0601	32.66***
βGARCH	0.9990	1,932.30***
νDF	2.2937	355.94***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4448	1.93*
α ARCH Response to squared shocks	0.0601	32.66***
β GARCH Volatility persistence	0.9990	1,932.30***
ν DF Student-t tail thickness	2.2937	355.94***

V-Lab

US Dollar to Turkish New Lira GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Turkish New Lira Analyses