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	2.2196	3.10***
αARCH	0.2781	5.78***
βGARCH	0.7162	15.63***

γ₁	1.1661	1.33
γ₂	-3.1676	-2.33**
γ₃	6.1869	6.71***
γ₄	-7.2972	-9.91***
γ₅	3.4087	4.22***
γ₆	0.3255	0.42
γ₇	-2.6916	-4.22***
γ₈	6.8113	6.66***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2196	3.10***
α ARCH Response to squared shocks	0.2781	5.78***
β GARCH Volatility persistence	0.7162	15.63***

γ₁	1.1661	1.33
γ₂	-3.1676	-2.33**
γ₃	6.1869	6.71***
γ₄	-7.2972	-9.91***
γ₅	3.4087	4.22***
γ₆	0.3255	0.42
γ₇	-2.6916	-4.22***
γ₈	6.8113	6.66***

V-Lab

Virtual Mind Holding Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Virtual Mind Holding Co Ltd Analyses