How volatility evolves over time

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{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	0.9219	0.80
αARCH	0.1365	5.72***
βGARCH	0.8623	37.25***

γ₁	-0.0898	-1.65*
γ₂	0.0350	0.39
γ₃	0.1474	1.67*
γ₄	-0.1831	-1.71*
γ₅	0.1646	1.68*
γ₆	-0.3747	-2.44**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9219	0.80
α ARCH Response to squared shocks	0.1365	5.72***
β GARCH Volatility persistence	0.8623	37.25***

γ₁	-0.0898	-1.65*
γ₂	0.0350	0.39
γ₃	0.1474	1.67*
γ₄	-0.1831	-1.71*
γ₅	0.1646	1.68*
γ₆	-0.3747	-2.44**

V-Lab

Fraser & Neave Holdings Bhd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Fraser & Neave Holdings Bhd Analyses