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	0.6696	2.59***
αARCH	0.2178	26.20***
βGARCH	0.7795	89.38***

γ₁	-0.2921	-3.93***
γ₂	0.9052	7.69***
γ₃	-1.2869	-21.57***
γ₄	1.0625	16.04***
γ₅	-0.5723	-8.01***
γ₆	0.3224	4.09***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6696	2.59***
α ARCH Response to squared shocks	0.2178	26.20***
β GARCH Volatility persistence	0.7795	89.38***

γ₁	-0.2921	-3.93***
γ₂	0.9052	7.69***
γ₃	-1.2869	-21.57***
γ₄	1.0625	16.04***
γ₅	-0.5723	-8.01***
γ₆	0.3224	4.09***

V-Lab

TOP Energy Co Ltd-A Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other TOP Energy Co Ltd-A Analyses