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	1.7809	5.17***
αARCH	0.2192	4.37***
βGARCH	0.7769	17.18***

γ₁	-3.7349	-1.50
γ₂	8.1207	1.44
γ₃	-6.2829	-1.38
γ₄	1.9520	1.41
γ₅	-0.1953	-1.35
γ₆	0.4064	4.10***
γ₇	-0.6087	-5.02***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7809	5.17***
α ARCH Response to squared shocks	0.2192	4.37***
β GARCH Volatility persistence	0.7769	17.18***

γ₁	-3.7349	-1.50
γ₂	8.1207	1.44
γ₃	-6.2829	-1.38
γ₄	1.9520	1.41
γ₅	-0.1953	-1.35
γ₆	0.4064	4.10***
γ₇	-0.6087	-5.02***

V-Lab

Polytronics Technology Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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