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{name} Model Equation

How returns affect tomorrow's volatility

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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	76
αARCH	0.5525	6.38***
βGARCH	0.5634	11.23***
γleverage	-0.2459	-2.15**
λ₁tau intercept	9.9990	1.55
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.9123	4.04***

Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.5525	6.38***
β GARCH Volatility persistence	0.5634	11.23***
γ leverage Additional response to negative shocks	-0.2459	-2.15**
λ₁ tau intercept Baseline long-term coefficient	9.9990	1.55
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9123	4.04***

V-Lab

Esr-Reit MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Esr-Reit Analyses