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	8.8389	2.74***
αARCH	0.0741	2.59***
βGARCH	0.9112	24.38***

γ₁	0.1342	5.16***
γ₂	-0.1172	-3.37***
γ₃	-0.0085	-0.40

Parameter	Value	t-statistic
ω const Unconditional variance weight	8.8389	2.74***
α ARCH Response to squared shocks	0.0741	2.59***
β GARCH Volatility persistence	0.9112	24.38***

γ₁	0.1342	5.16***
γ₂	-0.1172	-3.37***
γ₃	-0.0085	-0.40

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Pruksa Holding Public Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Pruksa Holding Public Co Ltd Analyses