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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
mwindow	56
αARCH	0.4130	3.51***
βGARCH	0.0780	0.73
γleverage	-0.4130	-3.51***
λ₁tau intercept	10.0000	4.40***
λ₂forecast adj.	0.2164	8.19***
λ₃tau persistence	0.4908	7.95***

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.4130	3.51***
β GARCH Volatility persistence	0.0780	0.73
γ leverage Additional response to negative shocks	-0.4130	-3.51***
λ₁ tau intercept Baseline long-term coefficient	10.0000	4.40***
λ₂ forecast adj. Forecast performance sensitivity	0.2164	8.19***
λ₃ tau persistence Long-term factor persistence	0.4908	7.95***

V-Lab

Skyline Builders Group HLD Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Skyline Builders Group HLD Ltd Analyses