How volatility evolves over time

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{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	0.6761	4.83***
αARCH	0.2975	4.42***
βGARCH	0.3015	7.36***

γ₁	-1.0543	-1.90*
γ₂	1.3476	1.80*
γ₃	-0.2810	-1.18
γ₄	-0.0951	-0.24
γ₅	-0.1609	-0.47
γ₆	1.1839	6.36***
γ₇	-1.9556	-14.47***
γ₈	1.5323	8.95***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6761	4.83***
α ARCH Response to squared shocks	0.2975	4.42***
β GARCH Volatility persistence	0.3015	7.36***

γ₁	-1.0543	-1.90*
γ₂	1.3476	1.80*
γ₃	-0.2810	-1.18
γ₄	-0.0951	-0.24
γ₅	-0.1609	-0.47
γ₆	1.1839	6.36***
γ₇	-1.9556	-14.47***
γ₈	1.5323	8.95***

V-Lab

Joyvio Food Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Joyvio Food Co Ltd Analyses