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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	0.0282	9.24***
αARCH	0.0878	8.17***
βGARCH	0.9032	102.94***
γleverage	0.8105	5.51***
δpower	1.0848	10.83***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0282	9.24***
α ARCH Response to squared shocks	0.0878	8.17***
β GARCH Volatility persistence	0.9032	102.94***
γ leverage Additional response to negative shocks	0.8105	5.51***
δ power Transformation power	1.0848	10.83***

V-Lab

Wilshire 5000 Total Market Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Wilshire 5000 Total Market Index Analyses