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	1.8581	3.60***
αARCH	0.2071	11.71***
βGARCH	0.7925	44.85***

γ₁	-0.6024	-3.13***
γ₂	0.8968	3.45***
γ₃	-0.3107	-1.90*
γ₄	0.0797	0.47
γ₅	-1.5088	-2.26**
γ₆	4.2338	2.33**
γ₇	-4.8473	-2.30**
γ₈	2.8345	2.27**
γ₉	-0.9425	-1.76*
γ₁₀	-0.0571	-0.19

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8581	3.60***
α ARCH Response to squared shocks	0.2071	11.71***
β GARCH Volatility persistence	0.7925	44.85***

γ₁	-0.6024	-3.13***
γ₂	0.8968	3.45***
γ₃	-0.3107	-1.90*
γ₄	0.0797	0.47
γ₅	-1.5088	-2.26**
γ₆	4.2338	2.33**
γ₇	-4.8473	-2.30**
γ₈	2.8345	2.27**
γ₉	-0.9425	-1.76*
γ₁₀	-0.0571	-0.19

V-Lab

Malaysian Pacific Indus Bhd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Malaysian Pacific Indus Bhd Analyses