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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	0.9597	3.36***
αARCH	0.0000	0.00
βGARCH	0.8664	0.54

γ₁	-57.3607	-1.75*
γ₂	156.7703	2.63***
γ₃	-182.5277	-2.81***
γ₄	104.2474	1.67*
γ₅	-41.8075	-0.91
γ₆	49.9066	1.48
γ₇	-28.3760	-1.16
γ₈	-13.7213	-0.69
γ₉	18.1768	1.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9597	3.36***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8664	0.54

γ₁	-57.3607	-1.75*
γ₂	156.7703	2.63***
γ₃	-182.5277	-2.81***
γ₄	104.2474	1.67*
γ₅	-41.8075	-0.91
γ₆	49.9066	1.48
γ₇	-28.3760	-1.16
γ₈	-13.7213	-0.69
γ₉	18.1768	1.00

V-Lab

Skyline Builders Group HLD Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Skyline Builders Group HLD Ltd Analyses