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	1.1725	1.38
αARCH	0.2155	9.89***
βGARCH	0.7834	35.79***

γ₁	-4.6394	-7.22***
γ₂	8.0871	8.05***
γ₃	-5.2763	-8.08***
γ₄	2.7332	3.26***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1725	1.38
α ARCH Response to squared shocks	0.2155	9.89***
β GARCH Volatility persistence	0.7834	35.79***

γ₁	-4.6394	-7.22***
γ₂	8.0871	8.05***
γ₃	-5.2763	-8.08***
γ₄	2.7332	3.26***

V-Lab

Pt Bali Bintang Sejahtera Tb Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Pt Bali Bintang Sejahtera Tb Analyses