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	1.4159	3.79***
αARCH	0.2301	8.68***
βGARCH	0.7686	29.32***

γ₁	-0.9767	-4.11***
γ₂	1.7350	4.44***
γ₃	-2.7866	-6.21***
γ₄	4.8553	7.02***
γ₅	-3.9086	-6.40***
γ₆	0.7970	2.46**
γ₇	0.4751	2.86***
γ₈	-0.2887	-2.76***
γ₉	0.2494	1.62

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4159	3.79***
α ARCH Response to squared shocks	0.2301	8.68***
β GARCH Volatility persistence	0.7686	29.32***

γ₁	-0.9767	-4.11***
γ₂	1.7350	4.44***
γ₃	-2.7866	-6.21***
γ₄	4.8553	7.02***
γ₅	-3.9086	-6.40***
γ₆	0.7970	2.46**
γ₇	0.4751	2.86***
γ₈	-0.2887	-2.76***
γ₉	0.2494	1.62

V-Lab

Medco Energi Intl Tbk Pt Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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