How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	10.1587	1.59
αARCH	0.3032	4.48***
βGARCH	0.6710	8.27***

γ₁	0.4099	0.07
γ₂	-22.1832	-1.13
γ₃	61.2477	1.71*
γ₄	-58.4265	-1.84*
γ₅	19.7381	1.81*
γ₆	-0.3757	-0.15
γ₇	-0.4530	-0.33
γ₈	-0.2967	-0.27
γ₉	1.3637	1.03
γ₁₀	-3.5248	-1.31

Parameter	Value	t-statistic
ω const Unconditional variance weight	10.1587	1.59
α ARCH Response to squared shocks	0.3032	4.48***
β GARCH Volatility persistence	0.6710	8.27***

γ₁	0.4099	0.07
γ₂	-22.1832	-1.13
γ₃	61.2477	1.71*
γ₄	-58.4265	-1.84*
γ₅	19.7381	1.81*
γ₆	-0.3757	-0.15
γ₇	-0.4530	-0.33
γ₈	-0.2967	-0.27
γ₉	1.3637	1.03
γ₁₀	-3.5248	-1.31

V-Lab

Taiwan Steel Union Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Taiwan Steel Union Co Ltd Analyses