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	0.9025	0.25
αARCH	0.1728	0.03
βGARCH	0.8272	0.14

γ₁	0.3149	0.01
γ₂	-0.8042	-0.02
γ₃	0.8054	0.17
γ₄	-0.5172	-0.15
γ₅	0.3993	0.15

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9025	0.25
α ARCH Response to squared shocks	0.1728	0.03
β GARCH Volatility persistence	0.8272	0.14

γ₁	0.3149	0.01
γ₂	-0.8042	-0.02
γ₃	0.8054	0.17
γ₄	-0.5172	-0.15
γ₅	0.3993	0.15

V-Lab

Css Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Css Holdings Ltd Analyses