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	1.0420	6.31***
αARCH	0.3136	6.59***
βGARCH	0.6862	14.41***

γ₁	-0.7813	-1.63
γ₂	0.4796	0.79
γ₃	1.0980	4.63***
γ₄	-2.0522	-8.30***
γ₅	2.7292	4.67***
γ₆	-3.0143	-2.07**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0420	6.31***
α ARCH Response to squared shocks	0.3136	6.59***
β GARCH Volatility persistence	0.6862	14.41***

γ₁	-0.7813	-1.63
γ₂	0.4796	0.79
γ₃	1.0980	4.63***
γ₄	-2.0522	-8.30***
γ₅	2.7292	4.67***
γ₆	-3.0143	-2.07**

V-Lab

ACI Formulations PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ACI Formulations PLC Analyses