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	0.4116	1.92*
αARCH	0.1220	4.67***
βGARCH	0.7727	15.60***

γ₁	16.3288	7.62***
γ₂	-25.8553	-9.73***
γ₃	13.2560	6.80***
γ₄	-8.4211	-4.81***
γ₅	8.6400	5.09***
γ₆	-4.1113	-1.99**
γ₇	-2.0260	-1.01
γ₈	2.8017	1.50
γ₉	-2.4389	-1.10
γ₁₀	7.6729	2.53**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4116	1.92*
α ARCH Response to squared shocks	0.1220	4.67***
β GARCH Volatility persistence	0.7727	15.60***

γ₁	16.3288	7.62***
γ₂	-25.8553	-9.73***
γ₃	13.2560	6.80***
γ₄	-8.4211	-4.81***
γ₅	8.6400	5.09***
γ₆	-4.1113	-1.99**
γ₇	-2.0260	-1.01
γ₈	2.8017	1.50
γ₉	-2.4389	-1.10
γ₁₀	7.6729	2.53**

V-Lab

Tunas Alfin Tbk PT Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tunas Alfin Tbk PT Analyses