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	5.8446	2.72***
αARCH	0.2390	6.89***
βGARCH	0.7603	22.02***

γ₁	-0.3425	-2.47**
γ₂	0.7200	2.85***
γ₃	-3.6244	-3.47***
γ₄	8.0019	3.41***
γ₅	-5.5097	-2.82***
γ₆	-0.2709	-0.22
γ₇	1.0288	1.83*
γ₈	0.0530	0.42

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.8446	2.72***
α ARCH Response to squared shocks	0.2390	6.89***
β GARCH Volatility persistence	0.7603	22.02***

γ₁	-0.3425	-2.47**
γ₂	0.7200	2.85***
γ₃	-3.6244	-3.47***
γ₄	8.0019	3.41***
γ₅	-5.5097	-2.82***
γ₆	-0.2709	-0.22
γ₇	1.0288	1.83*
γ₈	0.0530	0.42

V-Lab

Medco Energi Intl Tbk Pt Spline ILLIQ Liquidity Analysis

Date Range:

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Parameter Estimates

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