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	0.2207	4.77***
αARCH	0.2437	3.89***
βGARCH	0.4435	2.83***

γ₁	-4.9617	-1.94*
γ₂	2.1308	0.52
γ₃	10.0940	3.07***
γ₄	-18.1003	-4.24***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2207	4.77***
α ARCH Response to squared shocks	0.2437	3.89***
β GARCH Volatility persistence	0.4435	2.83***

γ₁	-4.9617	-1.94*
γ₂	2.1308	0.52
γ₃	10.0940	3.07***
γ₄	-18.1003	-4.24***

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