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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	1.4418	6.81***
αARCH	0.0323	0.68
βGARCH	0.0000	0.00

γ₁	4.8317	5.42***
γ₂	-6.3650	-5.61***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4418	6.81***
α ARCH Response to squared shocks	0.0323	0.68
β GARCH Volatility persistence	0.0000	0.00

γ₁	4.8317	5.42***
γ₂	-6.3650	-5.61***

V-Lab

Innovatr EQ DF PR - 1 YR MAY Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Innovatr EQ DF PR - 1 YR MAY Analyses