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How volatility evolves over time

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{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	223.0719	2.52**
αARCH	0.1556	20.34***
βGARCH	0.9970	840.65***
νDF	2.0016

Parameter	Value	t-statistic
ω const Unconditional variance weight	223.0719	2.52**
α ARCH Response to squared shocks	0.1556	20.34***
β GARCH Volatility persistence	0.9970	840.65***
ν DF Student-t tail thickness	2.0016

V-Lab

Semilux International Ltd -Redh GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Semilux International Ltd -Redh Analyses