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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	1.5600	1.84*
αARCH	0.0000	0.00
βGARCH	0.7768	0.60

γ₁	95.3957	4.15***
γ₂	-142.7263	-4.42***
γ₃	71.5653	2.58***
γ₄	-60.0750	-1.46

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5600	1.84*
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7768	0.60

γ₁	95.3957	4.15***
γ₂	-142.7263	-4.42***
γ₃	71.5653	2.58***
γ₄	-60.0750	-1.46

V-Lab

BOYD GROUP SERVICES INC Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BOYD GROUP SERVICES INC Analyses