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	1.0043	5.74***
αARCH	0.2163	19.55***
βGARCH	0.7830	70.78***

γ₁	-0.0535	-5.69***
γ₂	0.1124	7.34***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0043	5.74***
α ARCH Response to squared shocks	0.2163	19.55***
β GARCH Volatility persistence	0.7830	70.78***

γ₁	-0.0535	-5.69***
γ₂	0.1124	7.34***

V-Lab

Dawn Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Dawn Corp Analyses