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	0.8775	0.10
αARCH	0.1685	0.00
βGARCH	0.8315	0.01

γ₁	-0.1185	0.00
γ₂	0.8699	0.00
γ₃	-1.3375	-0.13
γ₄	0.4986	0.02
γ₅	-0.2060	-0.02
γ₆	0.9488	0.18
γ₇	-1.2411	-0.21
γ₈	0.7790	0.08
γ₉	-0.2963	-0.02
γ₁₀	0.6356	0.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8775	0.10
α ARCH Response to squared shocks	0.1685	0.00
β GARCH Volatility persistence	0.8315	0.01

γ₁	-0.1185	0.00
γ₂	0.8699	0.00
γ₃	-1.3375	-0.13
γ₄	0.4986	0.02
γ₅	-0.2060	-0.02
γ₆	0.9488	0.18
γ₇	-1.2411	-0.21
γ₈	0.7790	0.08
γ₉	-0.2963	-0.02
γ₁₀	0.6356	0.01

V-Lab

Sandi Properties Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sandi Properties Co Ltd Analyses