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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9022	3.20***
α ARCH Response to squared shocks	0.1397	5.55***
β GARCH Volatility persistence	0.7835	48.64***
γ leverage Additional response to negative shocks	0.1536	2.99***

V-Lab

CosLeaguer Global Co Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CosLeaguer Global Co Ltd Analyses