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	1.3761	1.40
αARCH	0.2513	5.02***
βGARCH	0.7351	14.29***

γ₁	6.1386	1.11
γ₂	-10.7608	-1.31
γ₃	9.7998	1.73*
γ₄	-4.8874	-0.65
γ₅	-22.9580	-1.83*
γ₆	59.1271	3.76***
γ₇	-60.1862	-4.73***
γ₈	34.3298	5.00***
γ₉	-16.3220	-2.28**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3761	1.40
α ARCH Response to squared shocks	0.2513	5.02***
β GARCH Volatility persistence	0.7351	14.29***

γ₁	6.1386	1.11
γ₂	-10.7608	-1.31
γ₃	9.7998	1.73*
γ₄	-4.8874	-0.65
γ₅	-22.9580	-1.83*
γ₆	59.1271	3.76***
γ₇	-60.1862	-4.73***
γ₈	34.3298	5.00***
γ₉	-16.3220	-2.28**

V-Lab

PT Super Energy TBK Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other PT Super Energy TBK Analyses