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	1.4631	3.42***
αARCH	0.1753	14.87***
βGARCH	0.8186	75.30***

γ₁	0.0616	1.00
γ₂	-0.2825	-3.45***
γ₃	0.5226	12.49***
γ₄	-0.5717	-12.27***
γ₅	0.4577	7.99***
γ₆	-0.2516	-4.38***
γ₇	-0.0300	-0.31

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4631	3.42***
α ARCH Response to squared shocks	0.1753	14.87***
β GARCH Volatility persistence	0.8186	75.30***

γ₁	0.0616	1.00
γ₂	-0.2825	-3.45***
γ₃	0.5226	12.49***
γ₄	-0.5717	-12.27***
γ₅	0.4577	7.99***
γ₆	-0.2516	-4.38***
γ₇	-0.0300	-0.31

V-Lab

Lapine Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Lapine Co Ltd Analyses