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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	36
αARCH	0.0652	6.18***
βGARCH	0.8182	10.51***
γleverage	-0.0652	-6.04***
λ₁tau intercept	0.2977	0.34
λ₂forecast adj.	0.2679	8.62***
λ₃tau persistence	0.6689	16.87***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0652	6.18***
β GARCH Volatility persistence	0.8182	10.51***
γ leverage Additional response to negative shocks	-0.0652	-6.04***
λ₁ tau intercept Baseline long-term coefficient	0.2977	0.34
λ₂ forecast adj. Forecast performance sensitivity	0.2679	8.62***
λ₃ tau persistence Long-term factor persistence	0.6689	16.87***

V-Lab

Energys Group Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Energys Group Ltd Analyses