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	0.6270	6.90***
αARCH	0.3093	6.18***
βGARCH	0.5227	7.77***

γ₁	-1.3372	-4.04***
γ₂	3.1722	4.74***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6270	6.90***
α ARCH Response to squared shocks	0.3093	6.18***
β GARCH Volatility persistence	0.5227	7.77***

γ₁	-1.3372	-4.04***
γ₂	3.1722	4.74***

V-Lab

Asmarq Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Asmarq Co Ltd Analyses