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

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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	1.0386	6.22***
αARCH	0.1449	10.58***
βGARCH	0.8548	62.24***

γ₁	0.6106	1.52
γ₂	-1.2552	-2.19**
γ₃	1.0395	3.92***
γ₄	-1.0781	-6.18***
γ₅	1.2133	5.28***
γ₆	-0.3834	-1.06
γ₇	-0.5903	-1.56
γ₈	1.0501	2.98***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0386	6.22***
α ARCH Response to squared shocks	0.1449	10.58***
β GARCH Volatility persistence	0.8548	62.24***

γ₁	0.6106	1.52
γ₂	-1.2552	-2.19**
γ₃	1.0395	3.92***
γ₄	-1.0781	-6.18***
γ₅	1.2133	5.28***
γ₆	-0.3834	-1.06
γ₇	-0.5903	-1.56
γ₈	1.0501	2.98***

V-Lab

Success Prime Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Success Prime Corp Analyses