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	1.1294	6.33***
αARCH	0.0988	4.35***
βGARCH	0.8998	37.23***

γ₁	-0.3367	-3.78***
γ₂	0.6127	4.09***
γ₃	-0.4185	-3.77***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1294	6.33***
α ARCH Response to squared shocks	0.0988	4.35***
β GARCH Volatility persistence	0.8998	37.23***

γ₁	-0.3367	-3.78***
γ₂	0.6127	4.09***
γ₃	-0.4185	-3.77***

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Synclayer Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Synclayer Inc Analyses