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	2.4303	5.04***
αARCH	0.1268	10.92***
βGARCH	0.8623	78.43***

γ₁	-0.0086	-0.51
γ₂	0.0477	2.00**
γ₃	-0.1014	-4.78***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.4303	5.04***
α ARCH Response to squared shocks	0.1268	10.92***
β GARCH Volatility persistence	0.8623	78.43***

γ₁	-0.0086	-0.51
γ₂	0.0477	2.00**
γ₃	-0.1014	-4.78***

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Festaria Holdings Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Festaria Holdings Co Ltd Analyses