How volatility evolves over time

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How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.2292	4.55***
αARCH	0.2105	5.33***
βGARCH	0.7893	20.39***

γ₁	-6.2647	-1.40
γ₂	12.3149	1.37
γ₃	-8.3259	-1.30
γ₄	1.9092	1.03
γ₅	0.5251	1.61
γ₆	-0.1048	-0.38
γ₇	-0.0777	-0.27
γ₈	-0.1568	-0.59
γ₉	0.3521	1.10
γ₁₀	0.1625	0.36

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2292	4.55***
α ARCH Response to squared shocks	0.2105	5.33***
β GARCH Volatility persistence	0.7893	20.39***

γ₁	-6.2647	-1.40
γ₂	12.3149	1.37
γ₃	-8.3259	-1.30
γ₄	1.9092	1.03
γ₅	0.5251	1.61
γ₆	-0.1048	-0.38
γ₇	-0.0777	-0.27
γ₈	-0.1568	-0.59
γ₉	0.3521	1.10
γ₁₀	0.1625	0.36

V-Lab

Draytek Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Draytek Corp Analyses