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{name} Model Equation

How returns affect tomorrow's volatility

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Spline Coefficients

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	0.7419	1.95*
αARCH	0.4306	2.82***
βGARCH	0.6672	3.57***
γleverage	0.1597	1.06

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7419	1.95*
α ARCH Response to squared shocks	0.4306	2.82***
β GARCH Volatility persistence	0.6672	3.57***
γ leverage Additional response to negative shocks	0.1597	1.06

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BOYD GROUP SERVICES INC EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BOYD GROUP SERVICES INC Analyses