How volatility evolves over time

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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	1.8751	1.95*
αARCH	0.0869	3.73***
βGARCH	0.9000	32.17***

γ₁	-0.5453	-0.99
γ₂	-0.2461	-0.31
γ₃	1.9979	3.84***
γ₄	-1.7774	-3.41***
γ₅	0.5400	0.84
γ₆	0.1907	0.28
γ₇	0.1091	0.19
γ₈	-0.5159	-1.17
γ₉	0.2500	0.52
γ₁₀	-0.6387	-1.10

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8751	1.95*
α ARCH Response to squared shocks	0.0869	3.73***
β GARCH Volatility persistence	0.9000	32.17***

γ₁	-0.5453	-0.99
γ₂	-0.2461	-0.31
γ₃	1.9979	3.84***
γ₄	-1.7774	-3.41***
γ₅	0.5400	0.84
γ₆	0.1907	0.28
γ₇	0.1091	0.19
γ₈	-0.5159	-1.17
γ₉	0.2500	0.52
γ₁₀	-0.6387	-1.10

V-Lab

Public Financial Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Public Financial Holdings Ltd Analyses