How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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	0.8260	0.10
αARCH	0.2646	0.01
βGARCH	0.7354	0.04

γ₁	-16.7868	-0.05
γ₂	24.0323	0.04
γ₃	-8.3817	-0.02
γ₄	-1.0194	0.00
γ₅	3.9370	0.03
γ₆	-2.7346	-0.03
γ₇	1.5496	0.03
γ₈	-1.6864	-0.05

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8260	0.10
α ARCH Response to squared shocks	0.2646	0.01
β GARCH Volatility persistence	0.7354	0.04

γ₁	-16.7868	-0.05
γ₂	24.0323	0.04
γ₃	-8.3817	-0.02
γ₄	-1.0194	0.00
γ₅	3.9370	0.03
γ₆	-2.7346	-0.03
γ₇	1.5496	0.03
γ₈	-1.6864	-0.05

V-Lab

Crg Holdings Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Crg Holdings Co Ltd Analyses