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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	66
αARCH	0.1088	3.20***
βGARCH	0.5647	9.21***
γleverage	0.0196	0.56
λ₁tau intercept	0.5366	1.44
λ₂forecast adj.	0.3209	1.60
λ₃tau persistence	0.5942	2.30**

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.1088	3.20***
β GARCH Volatility persistence	0.5647	9.21***
γ leverage Additional response to negative shocks	0.0196	0.56
λ₁ tau intercept Baseline long-term coefficient	0.5366	1.44
λ₂ forecast adj. Forecast performance sensitivity	0.3209	1.60
λ₃ tau persistence Long-term factor persistence	0.5942	2.30**

V-Lab

Kelly Services Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kelly Services Inc Analyses