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

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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	1.4711	1.79*
αARCH	0.1474	3.61***
βGARCH	0.8496	21.10***

γ₁	1.3709	0.58
γ₂	-2.5709	-0.67
γ₃	2.5287	1.13
γ₄	-2.1695	-1.45
γ₅	3.8829	1.37
γ₆	-11.7755	-2.12**
γ₇	18.0291	2.49**
γ₈	-13.9848	-2.55**
γ₉	6.8687	2.61***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4711	1.79*
α ARCH Response to squared shocks	0.1474	3.61***
β GARCH Volatility persistence	0.8496	21.10***

γ₁	1.3709	0.58
γ₂	-2.5709	-0.67
γ₃	2.5287	1.13
γ₄	-2.1695	-1.45
γ₅	3.8829	1.37
γ₆	-11.7755	-2.12**
γ₇	18.0291	2.49**
γ₈	-13.9848	-2.55**
γ₉	6.8687	2.61***

V-Lab

Amedeo Air Four Plus Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Amedeo Air Four Plus Limited Analyses