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	2.9188	3.67***
αARCH	0.4242	2.79***
βGARCH	0.4703	5.09***

γ₁	-0.9618	-1.37
γ₂	3.2874	2.47**

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.9188	3.67***
α ARCH Response to squared shocks	0.4242	2.79***
β GARCH Volatility persistence	0.4703	5.09***

γ₁	-0.9618	-1.37
γ₂	3.2874	2.47**

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Laekna Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Laekna Inc Analyses