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	2.3041	2.38**
αARCH	0.1127	5.37***
βGARCH	0.8654	35.60***

γ₁	5.4102	2.20**
γ₂	-8.4298	-2.15**
γ₃	2.2802	0.88
γ₄	3.5197	1.18
γ₅	-13.1010	-2.63***
γ₆	24.3780	4.77***
γ₇	-19.3440	-5.07***
γ₈	5.3833	1.41
γ₉	2.9351	0.89

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3041	2.38**
α ARCH Response to squared shocks	0.1127	5.37***
β GARCH Volatility persistence	0.8654	35.60***

γ₁	5.4102	2.20**
γ₂	-8.4298	-2.15**
γ₃	2.2802	0.88
γ₄	3.5197	1.18
γ₅	-13.1010	-2.63***
γ₆	24.3780	4.77***
γ₇	-19.3440	-5.07***
γ₈	5.3833	1.41
γ₉	2.9351	0.89

V-Lab

Ubion Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ubion Co Ltd Analyses