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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
ωlong-run	6.1659	1.53
αscore	0.0719	4.46***
βpersistence	0.9605	34.65***
νDF	4.2249	1.52

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	6.1659	1.53
α score Weight on the scaled score	0.0719	4.46***
β persistence Volatility persistence	0.9605	34.65***
ν DF Student-t tail thickness	4.2249	1.52

V-Lab

Hikma Pharmaceuticals PLC GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hikma Pharmaceuticals PLC Analyses