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	1.7930	5.53***
αARCH	0.1571	11.73***
βGARCH	0.8235	59.07***

γ₁	-0.6442	-8.18***
γ₂	1.0907	8.36***
γ₃	-0.5132	-5.22***
γ₄	0.0625	0.75
γ₅	-0.0879	-1.14
γ₆	0.1774	2.62***
γ₇	-0.3499	-3.83***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7930	5.53***
α ARCH Response to squared shocks	0.1571	11.73***
β GARCH Volatility persistence	0.8235	59.07***

γ₁	-0.6442	-8.18***
γ₂	1.0907	8.36***
γ₃	-0.5132	-5.22***
γ₄	0.0625	0.75
γ₅	-0.0879	-1.14
γ₆	0.1774	2.62***
γ₇	-0.3499	-3.83***

V-Lab

TVE Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other TVE Co Ltd Analyses