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	0.9937	5.75***
αARCH	0.2168	19.52***
βGARCH	0.7825	70.42***

γ₁	-0.0553	-5.75***
γ₂	0.1166	7.49***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9937	5.75***
α ARCH Response to squared shocks	0.2168	19.52***
β GARCH Volatility persistence	0.7825	70.42***

γ₁	-0.0553	-5.75***
γ₂	0.1166	7.49***

V-Lab

Dawn Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Dawn Corp Analyses