THE FINTECH BUILDER · SYNTHETIC LEARNING LAB

GJR-GARCH

Isolate the extra term activated by a negative lagged residual.

0.02
0.9

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. Read previous residual sign
  2. 2. Compute ordinary squared-shock term
  3. 3. Activate γ term only below zero
  4. 4. Add intercept and carried variance

Calculated history

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

Result and diagnostics

h_t=omega+(alpha+gamma I[epsilon_(t-1)<0]) epsilon_(t-1)²+beta h_(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