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	0.6341	3.20***
αARCH	0.2596	15.68***
βGARCH	0.7173	34.34***

γ₁	-1.3905	-8.07***
γ₂	1.9699	5.94***
γ₃	-0.8871	-2.94***
γ₄	0.6591	2.98***
γ₅	-0.5175	-3.22***
γ₆	0.1989	1.39
γ₇	0.2595	0.93

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6341	3.20***
α ARCH Response to squared shocks	0.2596	15.68***
β GARCH Volatility persistence	0.7173	34.34***

γ₁	-1.3905	-8.07***
γ₂	1.9699	5.94***
γ₃	-0.8871	-2.94***
γ₄	0.6591	2.98***
γ₅	-0.5175	-3.22***
γ₆	0.1989	1.39
γ₇	0.2595	0.93

V-Lab

Nms Holdings Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nms Holdings Corp Analyses