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	1.0383	6.21***
αARCH	0.3132	4.43***
βGARCH	0.6866	9.69***

γ₁	-0.8243	-1.73*
γ₂	0.5397	0.90
γ₃	1.0658	4.58***
γ₄	-2.0252	-8.61***
γ₅	2.7171	4.84***
γ₆	-3.0519	-2.12**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0383	6.21***
α ARCH Response to squared shocks	0.3132	4.43***
β GARCH Volatility persistence	0.6866	9.69***

γ₁	-0.8243	-1.73*
γ₂	0.5397	0.90
γ₃	1.0658	4.58***
γ₄	-2.0252	-8.61***
γ₅	2.7171	4.84***
γ₆	-3.0519	-2.12**

V-Lab

ACI Formulations PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ACI Formulations PLC Analyses