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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	0.1957	4.91***
αARCH	0.0598	3.61***
βGARCH	0.8980	59.27***
γleverage	0.0225	0.92

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1957	4.91***
α ARCH Response to squared shocks	0.0598	3.61***
β GARCH Volatility persistence	0.8980	59.27***
γ leverage Additional response to negative shocks	0.0225	0.92

V-Lab

Kelly Services Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kelly Services Inc Analyses