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
mwindow	41
αARCH	0.2980	4.48***
βGARCH	0.6355	12.74***
γleverage	-0.2980	-1.99**
λ₁tau intercept	0.0153	0.86
λ₂forecast adj.	0.8567	7.89***
λ₃tau persistence	0.1433	3.28***

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.2980	4.48***
β GARCH Volatility persistence	0.6355	12.74***
γ leverage Additional response to negative shocks	-0.2980	-1.99**
λ₁ tau intercept Baseline long-term coefficient	0.0153	0.86
λ₂ forecast adj. Forecast performance sensitivity	0.8567	7.89***
λ₃ tau persistence Long-term factor persistence	0.1433	3.28***

V-Lab

Medco Energi Intl Tbk Pt ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Medco Energi Intl Tbk Pt Analyses