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	1.9607	2.06**
αARCH	0.3354	10.79***
βGARCH	0.6639	21.45***

γ₁	0.6316	0.77
γ₂	-3.0075	-2.84***
γ₃	3.9522	5.41***
γ₄	-1.7546	-2.42**
γ₅	0.2122	0.43
γ₆	0.0904	0.20

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9607	2.06**
α ARCH Response to squared shocks	0.3354	10.79***
β GARCH Volatility persistence	0.6639	21.45***

γ₁	0.6316	0.77
γ₂	-3.0075	-2.84***
γ₃	3.9522	5.41***
γ₄	-1.7546	-2.42**
γ₅	0.2122	0.43
γ₆	0.0904	0.20

V-Lab

Kingwaytek Technology Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Kingwaytek Technology Analyses