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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	6.1721	1.37
αARCH	0.0635	4.55***
βGARCH	0.9675	38.42***
νDF	4.1440	1.54

Parameter	Value	t-statistic
ω const Unconditional variance weight	6.1721	1.37
α ARCH Response to squared shocks	0.0635	4.55***
β GARCH Volatility persistence	0.9675	38.42***
ν DF Student-t tail thickness	4.1440	1.54

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Hikma Pharmaceuticals PLC GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hikma Pharmaceuticals PLC Analyses