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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
mwindow	96
αARCH	0.5000	80.19***
βGARCH	0.5931	75.48***
γleverage	-0.5000	-82.56***
λ₁tau intercept	0.0000	0.17
λ₂forecast adj.	0.0186	9.23***
λ₃tau persistence	0.0000	10.00***

Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.5000	80.19***
β GARCH Volatility persistence	0.5931	75.48***
γ leverage Additional response to negative shocks	-0.5000	-82.56***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.17
λ₂ forecast adj. Forecast performance sensitivity	0.0186	9.23***
λ₃ tau persistence Long-term factor persistence	0.0000	10.00***

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BOYD GROUP SERVICES INC MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BOYD GROUP SERVICES INC Analyses