How volatility evolves over time

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How returns affect tomorrow's illiquidity

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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	0.2921	1.86*
αARCH	0.3149	6.46***
βGARCH	0.6461	12.96***

γ₁	23.5590	2.12**
γ₂	-93.6777	-5.97***
γ₃	139.4667	10.04***
γ₄	-96.8467	-7.27***
γ₅	35.2223	4.00***
γ₆	-21.8731	-2.74***
γ₇	31.1697	4.50***
γ₈	-22.0229	-3.75***
γ₉	2.9777	0.44
γ₁₀	8.8403	0.96

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2921	1.86*
α ARCH Response to squared shocks	0.3149	6.46***
β GARCH Volatility persistence	0.6461	12.96***

γ₁	23.5590	2.12**
γ₂	-93.6777	-5.97***
γ₃	139.4667	10.04***
γ₄	-96.8467	-7.27***
γ₅	35.2223	4.00***
γ₆	-21.8731	-2.74***
γ₇	31.1697	4.50***
γ₈	-22.0229	-3.75***
γ₉	2.9777	0.44
γ₁₀	8.8403	0.96

V-Lab

Best Precision Ind Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Best Precision Ind Co Ltd Analyses