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	0.5331	3.70***
αARCH	0.2032	5.79***
βGARCH	0.7135	14.92***

γ₁	-0.6550	-3.32***
γ₂	1.1118	4.25***
γ₃	-1.0187	-5.96***
γ₄	1.2410	6.40***
γ₅	-1.4864	-6.42***
γ₆	1.5703	5.73***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5331	3.70***
α ARCH Response to squared shocks	0.2032	5.79***
β GARCH Volatility persistence	0.7135	14.92***

γ₁	-0.6550	-3.32***
γ₂	1.1118	4.25***
γ₃	-1.0187	-5.96***
γ₄	1.2410	6.40***
γ₅	-1.4864	-6.42***
γ₆	1.5703	5.73***

V-Lab

Dynagreen Environmental Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Dynagreen Environmental Analyses