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	0.9738	2.64***
αARCH	0.0867	0.22
βGARCH	0.9133	2.30**

γ₁	-0.0674	-0.09
γ₂	0.0967	0.10

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9738	2.64***
α ARCH Response to squared shocks	0.0867	0.22
β GARCH Volatility persistence	0.9133	2.30**

γ₁	-0.0674	-0.09
γ₂	0.0967	0.10

V-Lab

Tabio Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tabio Corp Analyses