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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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	2.6882	3.47***
αARCH	0.2502	7.83***
βGARCH	0.7355	29.29***

γ₁	-0.1849	-0.16
γ₂	0.8272	0.51
γ₃	-1.8329	-1.57
γ₄	3.2939	2.81***
γ₅	-5.2858	-5.78***
γ₆	4.3806	4.81***
γ₇	1.8732	1.50
γ₈	-11.7840	-8.21***
γ₉	20.5620	11.71***
γ₁₀	-19.4609	-7.00***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.6882	3.47***
α ARCH Response to squared shocks	0.2502	7.83***
β GARCH Volatility persistence	0.7355	29.29***

γ₁	-0.1849	-0.16
γ₂	0.8272	0.51
γ₃	-1.8329	-1.57
γ₄	3.2939	2.81***
γ₅	-5.2858	-5.78***
γ₆	4.3806	4.81***
γ₇	1.8732	1.50
γ₈	-11.7840	-8.21***
γ₉	20.5620	11.71***
γ₁₀	-19.4609	-7.00***

V-Lab

Vietnam BDC Construction Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Vietnam BDC Construction Analyses