THE FINTECH BUILDER · SYNTHETIC LEARNING LAB

EGARCH

Compare signed standardized shocks on the log-variance scale.

-0.12
0.94

Keyboard: Tab to a control; native arrow keys change sliders. Alt + Right steps, Alt + Left goes back. Reduced-motion Play advances one state only.

  1. 1. Standardize using previous variance
  2. 2. Center the shock magnitude
  3. 3. Add signed shock and carried log state
  4. 4. Exponentiate or reject numerical overflow

Calculated history

Calculated stateValues from the current input prefix, not a decorative trace.
● Selected experiment┄ Canonical parameters / same cutoff

Result and diagnostics

log(h_t)=omega+beta log(h_(t-1))+alpha(|z_(t-1)|-sqrt(2/pi))+gamma z_(t-1)

Calculation trace

Exact current output (JSON)


Input audit
Only the shown information prefix is supplied to the calculation. Synthetic fixture; no live market data or fitted performance claim.
Exact input supplied to the reference engine