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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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	1.6586	5.31***
αARCH	0.1623	3.98***
βGARCH	0.7702	23.50***
γleverage	-0.0152	-0.21

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6586	5.31***
α ARCH Response to squared shocks	0.1623	3.98***
β GARCH Volatility persistence	0.7702	23.50***
γ leverage Additional response to negative shocks	-0.0152	-0.21

V-Lab

Ballard Power Systems Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ballard Power Systems Inc Analyses