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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	1.2342	7.58***
αARCH	0.1076	10.33***
βGARCH	0.8604	71.41***

γ₁	0.0817	5.98***
γ₂	-0.1283	-5.79***
γ₃	0.0707	4.42***
γ₄	-0.0444	-3.25***
γ₅	0.0428	2.87***
γ₆	-0.0330	-2.90***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2342	7.58***
α ARCH Response to squared shocks	0.1076	10.33***
β GARCH Volatility persistence	0.8604	71.41***

γ₁	0.0817	5.98***
γ₂	-0.1283	-5.79***
γ₃	0.0707	4.42***
γ₄	-0.0444	-3.25***
γ₅	0.0428	2.87***
γ₆	-0.0330	-2.90***

V-Lab

Wilshire 5000 Total Market Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Wilshire 5000 Total Market Index Analyses