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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	3.5433	1.53
αARCH	0.0205	13.17***
βGARCH	0.9957	411.26***
νDF	2.1357	79.30***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.5433	1.53
α ARCH Response to squared shocks	0.0205	13.17***
β GARCH Volatility persistence	0.9957	411.26***
ν DF Student-t tail thickness	2.1357	79.30***

V-Lab

Gold Troy Ounce GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gold Troy Ounce Analyses