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	0.2609	3.20***
αARCH	0.2142	4.82***
βGARCH	0.7256	14.50***

γ₁	-4.9229	-3.80***
γ₂	3.0812	1.57
γ₃	4.5269	3.34***
γ₄	-7.4410	-4.52***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2609	3.20***
α ARCH Response to squared shocks	0.2142	4.82***
β GARCH Volatility persistence	0.7256	14.50***

γ₁	-4.9229	-3.80***
γ₂	3.0812	1.57
γ₃	4.5269	3.34***
γ₄	-7.4410	-4.52***

V-Lab

Fameglow Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Fameglow Holdings Ltd Analyses