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
mwindow	96
αARCH	0.0837	3.23***
βGARCH	0.9271	98.55***
γleverage	-0.0217	-0.64
λ₁tau intercept	7.8159	0.00
λ₂forecast adj.	0.0079	1.08
λ₃tau persistence	0.9914	103.64***

Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.0837	3.23***
β GARCH Volatility persistence	0.9271	98.55***
γ leverage Additional response to negative shocks	-0.0217	-0.64
λ₁ tau intercept Baseline long-term coefficient	7.8159	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0079	1.08
λ₃ tau persistence Long-term factor persistence	0.9914	103.64***

V-Lab

Tunas Alfin Tbk PT ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tunas Alfin Tbk PT Analyses