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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Param	Value	t-stat
ωconst	0.5875	2.22**
αARCH	0.1407	3.99***
βGARCH	0.7960	15.12***

γ₁	0.2410	0.04
γ₂	-2.4800	-0.33
γ₃	6.9875	1.56
γ₄	-4.4922	-0.72
γ₅	-5.6763	-0.63
γ₆	9.7657	1.06
γ₇	-7.4602	-0.82
γ₈	-0.5814	-0.06
γ₉	16.4571	2.08**
γ₁₀	-22.4348	-2.17**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5875	2.22**
α ARCH Response to squared shocks	0.1407	3.99***
β GARCH Volatility persistence	0.7960	15.12***

γ₁	0.2410	0.04
γ₂	-2.4800	-0.33
γ₃	6.9875	1.56
γ₄	-4.4922	-0.72
γ₅	-5.6763	-0.63
γ₆	9.7657	1.06
γ₇	-7.4602	-0.82
γ₈	-0.5814	-0.06
γ₉	16.4571	2.08**
γ₁₀	-22.4348	-2.17**

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Krom Bank Indonesia Tbk PT Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Krom Bank Indonesia Tbk PT Analyses