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	22.5848	3.97***
αARCH	0.2064	6.42***
βGARCH	0.7822	25.70***

γ₁	-0.0606	-0.10
γ₂	1.6155	1.45
γ₃	-2.5846	-2.50**
γ₄	1.2571	2.07**
γ₅	0.2633	0.49
γ₆	-0.8100	-1.14
γ₇	0.7099	0.97
γ₈	-0.2461	-0.30
γ₉	-3.2120	-1.69*

Parameter	Value	t-statistic
ω const Unconditional variance weight	22.5848	3.97***
α ARCH Response to squared shocks	0.2064	6.42***
β GARCH Volatility persistence	0.7822	25.70***

γ₁	-0.0606	-0.10
γ₂	1.6155	1.45
γ₃	-2.5846	-2.50**
γ₄	1.2571	2.07**
γ₅	0.2633	0.49
γ₆	-0.8100	-1.14
γ₇	0.7099	0.97
γ₈	-0.2461	-0.30
γ₉	-3.2120	-1.69*

V-Lab

Value Convergence Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Value Convergence Holdings Ltd Analyses