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	1.2399	1.36
αARCH	0.3586	3.60***
βGARCH	0.6413	6.44***

γ₁	-4.4988	-15.66***
γ₂	5.8271	11.56***
γ₃	-1.2105	-2.32**
γ₄	-0.4844	-0.74

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2399	1.36
α ARCH Response to squared shocks	0.3586	3.60***
β GARCH Volatility persistence	0.6413	6.44***

γ₁	-4.4988	-15.66***
γ₂	5.8271	11.56***
γ₃	-1.2105	-2.32**
γ₄	-0.4844	-0.74

V-Lab

Asuransi Jiwa Syar Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Asuransi Jiwa Syar Analyses