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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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	126
αARCH	0.1928	3.21***
βGARCH	0.6288	9.92***
γleverage	0.0199	0.24
λ₁tau intercept	3.3903	0.16
λ₂forecast adj.	0.2083	0.17
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1928	3.21***
β GARCH Volatility persistence	0.6288	9.92***
γ leverage Additional response to negative shocks	0.0199	0.24
λ₁ tau intercept Baseline long-term coefficient	3.3903	0.16
λ₂ forecast adj. Forecast performance sensitivity	0.2083	0.17
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Tate & Lyle Plc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tate & Lyle Plc Analyses