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	0.7832	5.55***
αARCH	0.1528	12.36***
βGARCH	0.8190	56.91***

γ₁	0.0947	1.13
γ₂	-0.1408	-1.10
γ₃	-0.1479	-1.86*
γ₄	0.5077	7.08***
γ₅	-0.5988	-8.14***
γ₆	0.5006	5.30***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7832	5.55***
α ARCH Response to squared shocks	0.1528	12.36***
β GARCH Volatility persistence	0.8190	56.91***

γ₁	0.0947	1.13
γ₂	-0.1408	-1.10
γ₃	-0.1479	-1.86*
γ₄	0.5077	7.08***
γ₅	-0.5988	-8.14***
γ₆	0.5006	5.30***

V-Lab

Alpha Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Alpha Co Ltd Analyses