How volatility evolves over time

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How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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Param	Value	t-stat
ωconst	3.7502	2.68***
αARCH	0.1909	7.17***
βGARCH	0.8057	31.02***

γ₁	-0.8150	-1.11
γ₂	2.1818	1.89*
γ₃	-2.9855	-4.56***
γ₄	3.0412	5.17***
γ₅	-1.5926	-1.98**
γ₆	-0.8250	-0.68
γ₇	1.2790	0.77
γ₈	0.7283	0.54
γ₉	-1.9234	-2.56**
γ₁₀	0.7412	0.75

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.7502	2.68***
α ARCH Response to squared shocks	0.1909	7.17***
β GARCH Volatility persistence	0.8057	31.02***

γ₁	-0.8150	-1.11
γ₂	2.1818	1.89*
γ₃	-2.9855	-4.56***
γ₄	3.0412	5.17***
γ₅	-1.5926	-1.98**
γ₆	-0.8250	-0.68
γ₇	1.2790	0.77
γ₈	0.7283	0.54
γ₉	-1.9234	-2.56**
γ₁₀	0.7412	0.75

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Asuransi Bintang Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Asuransi Bintang Analyses