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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
mwindow	126
αARCH	0.1954	3.23***
βGARCH	0.6130	9.46***
γleverage	0.0160	0.19
λ₁tau intercept	2.9828	0.26
λ₂forecast adj.	0.3002	0.27
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1954	3.23***
β GARCH Volatility persistence	0.6130	9.46***
γ leverage Additional response to negative shocks	0.0160	0.19
λ₁ tau intercept Baseline long-term coefficient	2.9828	0.26
λ₂ forecast adj. Forecast performance sensitivity	0.3002	0.27
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