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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
ωconst	0.0253	4.15***
αARCH	0.0664	6.04***
βGARCH	0.9336	79.52***
γleverage	0.3080	3.13***
δpower	0.8782	6.34***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0253	4.15***
α ARCH Response to squared shocks	0.0664	6.04***
β GARCH Volatility persistence	0.9336	79.52***
γ leverage Additional response to negative shocks	0.3080	3.13***
δ power Transformation power	0.8782	6.34***

V-Lab

Wal-Mart Stores Inc APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Wal-Mart Stores Inc Analyses