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	0.4668	3.67***
αARCH	0.3105	5.79***
βGARCH	0.5062	8.06***

γ₁	-0.2534	-0.92
γ₂	-0.1901	-0.49
γ₃	1.1957	4.19***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4668	3.67***
α ARCH Response to squared shocks	0.3105	5.79***
β GARCH Volatility persistence	0.5062	8.06***

γ₁	-0.2534	-0.92
γ₂	-0.1901	-0.49
γ₃	1.1957	4.19***

V-Lab

Hi-Crates Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hi-Crates Co Ltd Analyses