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	1.6964	5.82***
αARCH	0.2123	12.96***
βGARCH	0.7754	48.15***

γ₁	-0.0397	-4.29***
γ₂	0.1115	6.45***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6964	5.82***
α ARCH Response to squared shocks	0.2123	12.96***
β GARCH Volatility persistence	0.7754	48.15***

γ₁	-0.0397	-4.29***
γ₂	0.1115	6.45***

V-Lab

Data Horizon Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Data Horizon Co Ltd Analyses