{% extends "base.html" %} {% block sidebar %}
  • Summary
  • Parameters
  • Information Criteria
  • Volatility
  • Diagnostics
  • Residuals
  • {% endblock %} {% block content %}

    Model Summary

    {% if persistence is not none %}
    {{ persistence | fmt_number(4) }}
    Persistence
    {% endif %} {% if half_life is not none %}
    {{ half_life | fmt_number(1) }}
    Half-Life (obs)
    {% endif %} {% if unconditional_variance is not none %}
    {{ unconditional_variance | fmt_number(6) }}
    Unconditional Variance
    {% endif %} {% if loglikelihood is not none %}
    {{ loglikelihood | fmt_number(2) }}
    Log-Likelihood
    {% endif %}

    Parameter Estimates

    {% for row in params_table %} {% endfor %}
    Parameter Estimate Std. Error t-Statistic p-Value
    {{ row.name }} {{ row.value | fmt_number(6) }} {{ row.std_error | fmt_number(6) if row.std_error is defined else '-' }} {{ row.t_stat | fmt_number(3) if row.t_stat is defined else '-' }} {{ row.p_value | fmt_pvalue if row.p_value is defined else '-' }} {{ row.significance if row.significance is defined else '' }}

    Information Criteria

    {% if loglikelihood is not none %} {% endif %} {% if aic is not none %} {% endif %} {% if bic is not none %} {% endif %} {% if hqic is not none %} {% endif %}
    Criterion Value
    Log-Likelihood{{ loglikelihood | fmt_number(2) }}
    AIC{{ aic | fmt_number(2) }}
    BIC{{ bic | fmt_number(2) }}
    HQIC{{ hqic | fmt_number(2) }}

    Conditional Volatility

    {% if volatility_stats is defined %}
    {{ volatility_stats.annualized_mean | fmt_percent }}
    Annualized Mean Vol
    {{ volatility_stats.min | fmt_number(6) }}
    Min Daily Vol
    {{ volatility_stats.max | fmt_number(6) }}
    Max Daily Vol
    {% endif %}

    Model Diagnostics

    {% if diagnostics is defined %}
    Diagnostic Tests
    {% if diagnostics.arch_lm is defined %} {% endif %} {% if diagnostics.ljung_box_z2 is defined %} {% endif %} {% if diagnostics.sign_bias is defined %} {% endif %}
    Test Statistic p-Value
    ARCH-LM {{ diagnostics.arch_lm.stat | fmt_number(3) }} {{ diagnostics.arch_lm.pvalue | fmt_pvalue }}
    Ljung-Box (z²) {{ diagnostics.ljung_box_z2.stat | fmt_number(3) }} {{ diagnostics.ljung_box_z2.pvalue | fmt_pvalue }}
    Sign Bias {{ diagnostics.sign_bias.stat | fmt_number(3) }} {{ diagnostics.sign_bias.pvalue | fmt_pvalue }}
    {% endif %}

    Standardized Residuals

    {% if residual_stats is defined %}
    {{ residual_stats.mean | fmt_number(4) }}
    Mean
    {{ residual_stats.std | fmt_number(4) }}
    Std Dev
    {{ residual_stats.skewness | fmt_number(4) }}
    Skewness
    {{ residual_stats.kurtosis | fmt_number(4) }}
    Excess Kurtosis
    {% endif %} {% endblock %}