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	1.2141	2.55**
αARCH	0.1969	3.25***
βGARCH	0.7847	18.68***

γ₁	-0.6611	-2.36**
γ₂	1.1476	2.57**
γ₃	-0.6367	-1.59

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2141	2.55**
α ARCH Response to squared shocks	0.1969	3.25***
β GARCH Volatility persistence	0.7847	18.68***

γ₁	-0.6611	-2.36**
γ₂	1.1476	2.57**
γ₃	-0.6367	-1.59

V-Lab

Epiroc Ab Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Epiroc Ab Analyses