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	1.8072	5.54***
αARCH	0.1574	11.75***
βGARCH	0.8232	59.04***

γ₁	-0.6397	-8.19***
γ₂	1.0857	8.39***
γ₃	-0.5144	-5.28***
γ₄	0.0647	0.78
γ₅	-0.0883	-1.14
γ₆	0.1772	2.62***
γ₇	-0.3534	-3.90***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8072	5.54***
α ARCH Response to squared shocks	0.1574	11.75***
β GARCH Volatility persistence	0.8232	59.04***

γ₁	-0.6397	-8.19***
γ₂	1.0857	8.39***
γ₃	-0.5144	-5.28***
γ₄	0.0647	0.78
γ₅	-0.0883	-1.14
γ₆	0.1772	2.62***
γ₇	-0.3534	-3.90***

V-Lab

TVE Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other TVE Co Ltd Analyses