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	0.5096	2.33**
αARCH	0.4244	3.65***
βGARCH	0.5138	6.94***

γ₁	1.3967	3.80***
γ₂	-3.8565	-5.67***
γ₃	4.0928	7.08***
γ₄	-2.2406	-5.63***
γ₅	0.9138	2.33**
γ₆	-0.3305	-0.93
γ₇	0.2114	0.76
γ₈	-0.4070	-0.88

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5096	2.33**
α ARCH Response to squared shocks	0.4244	3.65***
β GARCH Volatility persistence	0.5138	6.94***

γ₁	1.3967	3.80***
γ₂	-3.8565	-5.67***
γ₃	4.0928	7.08***
γ₄	-2.2406	-5.63***
γ₅	0.9138	2.33**
γ₆	-0.3305	-0.93
γ₇	0.2114	0.76
γ₈	-0.4070	-0.88

V-Lab

Sekuro Plastik Ambalaj Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sekuro Plastik Ambalaj Analyses