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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	2.0270	3.26***
αARCH	0.0505	3.89***
βGARCH	0.8715	29.05***

γ₁	0.3036	2.19**
γ₂	-0.4335	-2.36**
γ₃	0.2322	2.25**
γ₄	-0.0974	-0.57
γ₅	-0.0567	-0.25
γ₆	0.0501	0.27
γ₇	0.1185	0.98
γ₈	-0.2088	-2.93***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0270	3.26***
α ARCH Response to squared shocks	0.0505	3.89***
β GARCH Volatility persistence	0.8715	29.05***

γ₁	0.3036	2.19**
γ₂	-0.4335	-2.36**
γ₃	0.2322	2.25**
γ₄	-0.0974	-0.57
γ₅	-0.0567	-0.25
γ₆	0.0501	0.27
γ₇	0.1185	0.98
γ₈	-0.2088	-2.93***

V-Lab

US Dollar to Gold Troy Ounce Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Gold Troy Ounce Analyses