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	1.0981	0.70
αARCH	0.1185	0.13
βGARCH	0.8815	0.98

γ₁	-0.1186	-0.89
γ₂	0.2164	1.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0981	0.70
α ARCH Response to squared shocks	0.1185	0.13
β GARCH Volatility persistence	0.8815	0.98

γ₁	-0.1186	-0.89
γ₂	0.2164	1.00

V-Lab

People Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other People Co Ltd Analyses