How volatility evolves over time

How illiquidity evolves over time

{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
ωconst	2.2643	5.30***
αARCH	0.1613	6.43***
βGARCH	0.7877	25.64***

γ₁	0.3364	1.09
γ₂	-0.7936	-1.42
γ₃	0.9905	2.32**
γ₄	-0.9868	-3.30***
γ₅	0.6784	2.95***
γ₆	-0.0876	-0.37
γ₇	-0.4210	-1.48
γ₈	0.3302	1.30
γ₉	0.2440	0.82

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2643	5.30***
α ARCH Response to squared shocks	0.1613	6.43***
β GARCH Volatility persistence	0.7877	25.64***

γ₁	0.3364	1.09
γ₂	-0.7936	-1.42
γ₃	0.9905	2.32**
γ₄	-0.9868	-3.30***
γ₅	0.6784	2.95***
γ₆	-0.0876	-0.37
γ₇	-0.4210	-1.48
γ₈	0.3302	1.30
γ₉	0.2440	0.82

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Aeon Credit Services M Bhd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Aeon Credit Services M Bhd Analyses