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{name} Model Equation

How returns affect tomorrow's volatility

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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	5.0000	1.89*
αARCH	0.1219	1.12
βGARCH	0.4754	2.37**
γleverage	-0.0427	-0.25

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	1.89*
α ARCH Response to squared shocks	0.1219	1.12
β GARCH Volatility persistence	0.4754	2.37**
γ leverage Additional response to negative shocks	-0.0427	-0.25

V-Lab

Avon Technologies PLC GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Avon Technologies PLC Analyses