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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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
mwindow	61
αARCH	0.3515	6.26***
βGARCH	0.0727	0.71
γleverage	-0.3094	-5.13***
λ₁tau intercept	4.8695	0.90
λ₂forecast adj.	0.3550	0.95
λ₃tau persistence	0.2756	0.36

Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.3515	6.26***
β GARCH Volatility persistence	0.0727	0.71
γ leverage Additional response to negative shocks	-0.3094	-5.13***
λ₁ tau intercept Baseline long-term coefficient	4.8695	0.90
λ₂ forecast adj. Forecast performance sensitivity	0.3550	0.95
λ₃ tau persistence Long-term factor persistence	0.2756	0.36

V-Lab

Ardagh Metal Packaging S A MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ardagh Metal Packaging S A Analyses