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	1.0016	7.50***
α ARCH Response to squared shocks	0.2479	0.27
β GARCH Volatility persistence	0.7521	0.82

γ₁	-0.3240	-4.24***
γ₂	0.4363	3.39***
γ₃	-0.1025	-0.61

V-Lab

CosLeaguer Global Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CosLeaguer Global Co Ltd Analyses