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	1.9899	2.05**
αARCH	0.3317	11.08***
βGARCH	0.6677	22.42***

γ₁	0.5726	0.69
γ₂	-2.9382	-2.74***
γ₃	3.9659	5.43***
γ₄	-1.7795	-2.44**
γ₅	0.1141	0.22
γ₆	0.6582	1.04

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9899	2.05**
α ARCH Response to squared shocks	0.3317	11.08***
β GARCH Volatility persistence	0.6677	22.42***

γ₁	0.5726	0.69
γ₂	-2.9382	-2.74***
γ₃	3.9659	5.43***
γ₄	-1.7795	-2.44**
γ₅	0.1141	0.22
γ₆	0.6582	1.04

V-Lab

Kingwaytek Technology Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kingwaytek Technology Analyses