How volatility evolves over time

How illiquidity evolves over time

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How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.7605	1.35
αARCH	0.3533	2.75***
βGARCH	0.6040	9.06***

γ₁	-1.5830	-0.61
γ₂	4.3918	1.12
γ₃	-7.9356	-2.19**
γ₄	9.2674	2.38**
γ₅	-6.0460	-2.05**
γ₆	4.2452	1.66*
γ₇	-4.2149	-1.48
γ₈	1.2675	0.56
γ₉	3.1154	1.67*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7605	1.35
α ARCH Response to squared shocks	0.3533	2.75***
β GARCH Volatility persistence	0.6040	9.06***

γ₁	-1.5830	-0.61
γ₂	4.3918	1.12
γ₃	-7.9356	-2.19**
γ₄	9.2674	2.38**
γ₅	-6.0460	-2.05**
γ₆	4.2452	1.66*
γ₇	-4.2149	-1.48
γ₈	1.2675	0.56
γ₉	3.1154	1.67*

V-Lab

Epiroc Ab Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Epiroc Ab Analyses