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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
ωconst	0.5293	1.96*
αARCH	0.0400	2.08**
βGARCH	0.8570	18.48***
γleverage	0.0330	0.86

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5293	1.96*
α ARCH Response to squared shocks	0.0400	2.08**
β GARCH Volatility persistence	0.8570	18.48***
γ leverage Additional response to negative shocks	0.0330	0.86

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Hikma Pharmaceuticals PLC GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hikma Pharmaceuticals PLC Analyses