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	1.9596	0.81
αARCH	0.7121	6.81***
βGARCH	0.2717	3.66***

γ₁	-1.1264	-1.17
γ₂	2.5920	1.45
γ₃	-4.3815	-1.80*
γ₄	6.2024	2.20**
γ₅	-4.9234	-1.79*
γ₆	1.2360	0.44
γ₇	2.8678	1.33
γ₈	-6.7359	-2.73***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9596	0.81
α ARCH Response to squared shocks	0.7121	6.81***
β GARCH Volatility persistence	0.2717	3.66***

γ₁	-1.1264	-1.17
γ₂	2.5920	1.45
γ₃	-4.3815	-1.80*
γ₄	6.2024	2.20**
γ₅	-4.9234	-1.79*
γ₆	1.2360	0.44
γ₇	2.8678	1.33
γ₈	-6.7359	-2.73***

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