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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	0.0230	1.37
αARCH	0.0774	6.30***
βGARCH	0.9222	58.90***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0230	1.37
α ARCH Response to squared shocks	0.0774	6.30***
β GARCH Volatility persistence	0.9222	58.90***

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Matsuda Sangyo Co Ltd MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Matsuda Sangyo Co Ltd Analyses