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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1520	9.99***
β GARCH Volatility persistence	0.3039	7.33***
γ leverage Additional response to negative shocks	-0.0017	-0.10
λ₁ tau intercept Baseline long-term coefficient	0.6209	0.16
λ₂ forecast adj. Forecast performance sensitivity	0.0956	0.14
λ₃ tau persistence Long-term factor persistence	0.7985	0.58

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Hikma Pharmaceuticals PLC MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hikma Pharmaceuticals PLC Analyses