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	0.5140	6.67***
αARCH	0.1480	11.06***
βGARCH	0.8229	53.91***

γ₁	-1.1756	-3.96***
γ₂	1.2009	2.43**
γ₃	0.0603	0.13
γ₄	-0.6460	-1.44
γ₅	1.6151	4.81***
γ₆	-1.9959	-4.60***
γ₇	1.5048	2.22**
γ₈	-0.6285	-0.83

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5140	6.67***
α ARCH Response to squared shocks	0.1480	11.06***
β GARCH Volatility persistence	0.8229	53.91***

γ₁	-1.1756	-3.96***
γ₂	1.2009	2.43**
γ₃	0.0603	0.13
γ₄	-0.6460	-1.44
γ₅	1.6151	4.81***
γ₆	-1.9959	-4.60***
γ₇	1.5048	2.22**
γ₈	-0.6285	-0.83

V-Lab

Ecomic Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ecomic Co Ltd Analyses