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	0.5037	5.99***
αARCH	0.1470	4.52***
βGARCH	0.7444	10.24***

γ₁	0.8617	0.54
γ₂	-4.9348	-1.91*
γ₃	4.9697	2.47**
γ₄	2.2446	1.10
γ₅	-7.8439	-2.68***
γ₆	8.8628	2.74***
γ₇	-8.3385	-2.81***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5037	5.99***
α ARCH Response to squared shocks	0.1470	4.52***
β GARCH Volatility persistence	0.7444	10.24***

γ₁	0.8617	0.54
γ₂	-4.9348	-1.91*
γ₃	4.9697	2.47**
γ₄	2.2446	1.10
γ₅	-7.8439	-2.68***
γ₆	8.8628	2.74***
γ₇	-8.3385	-2.81***

V-Lab

Cns Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Cns Co Ltd Analyses