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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	5.0000	1.73*
αARCH	0.2261	1.77*
βGARCH	0.7468	8.26***
γleverage	0.0541	0.28

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	1.73*
α ARCH Response to squared shocks	0.2261	1.77*
β GARCH Volatility persistence	0.7468	8.26***
γ leverage Additional response to negative shocks	0.0541	0.28

V-Lab

Vivakor Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vivakor Inc Analyses