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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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Spline Coefficients

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	0.2564	2.94***
βGARCH	0.4026	7.29***
γleverage	0.3566	1.47
λ₁tau intercept	10.0000	1.19
λ₂forecast adj.	0.1807	2.31**
λ₃tau persistence	0.7650	7.61***

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.2564	2.94***
β GARCH Volatility persistence	0.4026	7.29***
γ leverage Additional response to negative shocks	0.3566	1.47
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.19
λ₂ forecast adj. Forecast performance sensitivity	0.1807	2.31**
λ₃ tau persistence Long-term factor persistence	0.7650	7.61***

V-Lab

Maxeon Solar Technologies Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Maxeon Solar Technologies Ltd Analyses