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	0.1931	4.67***
αARCH	0.2881	3.46***
βGARCH	0.3650	2.75***

γ₁	-7.1813	-6.12***
γ₂	11.5334	6.44***
γ₃	-8.8735	-4.32***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1931	4.67***
α ARCH Response to squared shocks	0.2881	3.46***
β GARCH Volatility persistence	0.3650	2.75***

γ₁	-7.1813	-6.12***
γ₂	11.5334	6.44***
γ₃	-8.8735	-4.32***

V-Lab

Manabi AID Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Manabi AID Co Ltd Analyses