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	0.8336	4.99***
αARCH	0.2461	1.94*
βGARCH	0.2806	0.88

γ₁	-25.8345	-3.59***
γ₂	65.2952	3.70***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8336	4.99***
α ARCH Response to squared shocks	0.2461	1.94*
β GARCH Volatility persistence	0.2806	0.88

γ₁	-25.8345	-3.59***
γ₂	65.2952	3.70***

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OmniVision Integrated Circuits Group Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other OmniVision Integrated Circuits Group Inc Analyses