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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
mwindow	51
αARCH	0.0308	0.71
βGARCH	0.8174	11.64***
γleverage	0.2245	1.80*
λ₁tau intercept	10.0000	1.81*
λ₂forecast adj.	0.6022	2.54**
λ₃tau persistence	0.3978	2.57**

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0308	0.71
β GARCH Volatility persistence	0.8174	11.64***
γ leverage Additional response to negative shocks	0.2245	1.80*
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.81*
λ₂ forecast adj. Forecast performance sensitivity	0.6022	2.54**
λ₃ tau persistence Long-term factor persistence	0.3978	2.57**

V-Lab

Semilux International Ltd -Redh MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Semilux International Ltd -Redh Analyses