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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	8.1538	1.19
αARCH	0.0472	2.06**
βGARCH	0.9785	44.50***
νDF	2.9502	3.47***

Parameter	Value	t-statistic
ω const Unconditional variance weight	8.1538	1.19
α ARCH Response to squared shocks	0.0472	2.06**
β GARCH Volatility persistence	0.9785	44.50***
ν DF Student-t tail thickness	2.9502	3.47***

V-Lab

BOYD GROUP SERVICES INC GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BOYD GROUP SERVICES INC Analyses