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	0.3272	0.00
αARCH	0.3543	0.00
βGARCH	0.6457	0.00

γ₁	25.8338	0.00
γ₂	-95.3466	0.00
γ₃	162.2518	0.00
γ₄	-195.1218	0.00
γ₅	193.4230	0.00
γ₆	-139.6230	0.00
γ₇	65.1166	0.00
γ₈	-22.0007	0.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3272	0.00
α ARCH Response to squared shocks	0.3543	0.00
β GARCH Volatility persistence	0.6457	0.00

γ₁	25.8338	0.00
γ₂	-95.3466	0.00
γ₃	162.2518	0.00
γ₄	-195.1218	0.00
γ₅	193.4230	0.00
γ₆	-139.6230	0.00
γ₇	65.1166	0.00
γ₈	-22.0007	0.00

V-Lab

Norbel Baby Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Norbel Baby Co Ltd Analyses