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	5.5628	1.81*
αARCH	0.2630	2.61***
βGARCH	0.3716	2.33**

γ₁	5.3581	1.90*
γ₂	-3.6367	-0.77
γ₃	-8.5362	-2.12**
γ₄	14.8966	4.86***
γ₅	-11.9128	-4.19***
γ₆	3.4366	1.10
γ₇	1.4242	0.60
γ₈	0.4568	0.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.5628	1.81*
α ARCH Response to squared shocks	0.2630	2.61***
β GARCH Volatility persistence	0.3716	2.33**

γ₁	5.3581	1.90*
γ₂	-3.6367	-0.77
γ₃	-8.5362	-2.12**
γ₄	14.8966	4.86***
γ₅	-11.9128	-4.19***
γ₆	3.4366	1.10
γ₇	1.4242	0.60
γ₈	0.4568	0.22

V-Lab

Unicocell Biomed Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Unicocell Biomed Co Ltd Analyses