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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.0220	3.44***
αARCH	0.0634	8.46***
βGARCH	0.9366	113.30***
γleverage	0.3427	4.30***
δpower	1.1950	6.48***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0220	3.44***
α ARCH Response to squared shocks	0.0634	8.46***
β GARCH Volatility persistence	0.9366	113.30***
γ leverage Additional response to negative shocks	0.3427	4.30***
δ power Transformation power	1.1950	6.48***

V-Lab

McDonald's Corp APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other McDonald's Corp Analyses