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	0.3863	1.14
αARCH	0.0000	0.00
βGARCH	0.8953	5.52***

γ₁	53.0224	1.76*
γ₂	-64.3366	-1.53
γ₃	15.2671	0.60
γ₄	-24.7058	-1.29
γ₅	33.4562	1.99**
γ₆	-13.3154	-0.65
γ₇	-15.3804	-0.70
γ₈	57.4860	2.53**
γ₉	-98.0578	-4.18***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3863	1.14
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8953	5.52***

γ₁	53.0224	1.76*
γ₂	-64.3366	-1.53
γ₃	15.2671	0.60
γ₄	-24.7058	-1.29
γ₅	33.4562	1.99**
γ₆	-13.3154	-0.65
γ₇	-15.3804	-0.70
γ₈	57.4860	2.53**
γ₉	-98.0578	-4.18***

V-Lab

VIB Vermoegen AG Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other VIB Vermoegen AG Analyses