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	2.7330	0.00
αARCH	0.2262	0.00
βGARCH	0.7738	0.02

γ₁	-0.8926	-0.05
γ₂	1.2433	0.05
γ₃	-0.8639	-0.05
γ₄	1.1555	0.06
γ₅	-1.4122	-0.07
γ₆	1.5854	0.08
γ₇	-1.3710	-3.33***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.7330	0.00
α ARCH Response to squared shocks	0.2262	0.00
β GARCH Volatility persistence	0.7738	0.02

γ₁	-0.8926	-0.05
γ₂	1.2433	0.05
γ₃	-0.8639	-0.05
γ₄	1.1555	0.06
γ₅	-1.4122	-0.07
γ₆	1.5854	0.08
γ₇	-1.3710	-3.33***

V-Lab

Syarikat Takaful Malaysia Keluarga Bhd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Syarikat Takaful Malaysia Keluarga Bhd Analyses