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{name} Model Equation

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Param	Value	t-stat
mwindow	126
αARCH	0.1514	2.93***
βGARCH	0.3049	2.39**
γleverage	0.0009	0.01
λ₁tau intercept	0.6312	0.43
λ₂forecast adj.	0.0967	0.37
λ₃tau persistence	0.7945	1.54

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1514	2.93***
β GARCH Volatility persistence	0.3049	2.39**
γ leverage Additional response to negative shocks	0.0009	0.01
λ₁ tau intercept Baseline long-term coefficient	0.6312	0.43
λ₂ forecast adj. Forecast performance sensitivity	0.0967	0.37
λ₃ tau persistence Long-term factor persistence	0.7945	1.54

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Hikma Pharmaceuticals PLC MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hikma Pharmaceuticals PLC Analyses