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	2.1156	0.94
αARCH	0.7059	7.52***
βGARCH	0.2807	3.85***

γ₁	-0.9673	-1.09
γ₂	2.2671	1.44
γ₃	-4.0375	-1.82*
γ₄	5.9423	2.24**
γ₅	-4.9647	-1.92*
γ₆	1.6600	0.59
γ₇	2.2417	0.97
γ₈	-6.2705	-2.68***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1156	0.94
α ARCH Response to squared shocks	0.7059	7.52***
β GARCH Volatility persistence	0.2807	3.85***

γ₁	-0.9673	-1.09
γ₂	2.2671	1.44
γ₃	-4.0375	-1.82*
γ₄	5.9423	2.24**
γ₅	-4.9647	-1.92*
γ₆	1.6600	0.59
γ₇	2.2417	0.97
γ₈	-6.2705	-2.68***

V-Lab

Pt Mega Perintis Tbk Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Pt Mega Perintis Tbk Analyses