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	0.4780	2.50**
αARCH	0.2462	7.32***
βGARCH	0.7230	30.32***

γ₁	-0.0544	-4.00***
γ₂	0.0811	4.09***
γ₃	-0.0433	-2.90***
γ₄	0.0390	1.82*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4780	2.50**
α ARCH Response to squared shocks	0.2462	7.32***
β GARCH Volatility persistence	0.7230	30.32***

γ₁	-0.0544	-4.00***
γ₂	0.0811	4.09***
γ₃	-0.0433	-2.90***
γ₄	0.0390	1.82*

V-Lab

Carlsberg Brewery Malaysia Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Carlsberg Brewery Malaysia Analyses