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	0.2830	6.80***
αARCH	0.0000	0.00
βGARCH	0.9894	57.95***

γ₁	9.8164	3.07***
γ₂	-15.1773	-2.80***
γ₃	10.0570	2.21**
γ₄	-12.0338	-2.88***
γ₅	15.4570	3.63***
γ₆	-12.9299	-2.14**
γ₇	30.5493	3.59***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2830	6.80***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9894	57.95***

γ₁	9.8164	3.07***
γ₂	-15.1773	-2.80***
γ₃	10.0570	2.21**
γ₄	-12.0338	-2.88***
γ₅	15.4570	3.63***
γ₆	-12.9299	-2.14**
γ₇	30.5493	3.59***

V-Lab

Angel Seafood Holdings Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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