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	1.0623	6.73***
αARCH	0.3130	12.63***
βGARCH	0.6865	27.70***

γ₁	-0.5753	-1.18
γ₂	0.1894	0.30
γ₃	1.2540	4.84***
γ₄	-2.1733	-7.11***
γ₅	2.7586	4.01***
γ₆	-2.7610	-1.90*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0623	6.73***
α ARCH Response to squared shocks	0.3130	12.63***
β GARCH Volatility persistence	0.6865	27.70***

γ₁	-0.5753	-1.18
γ₂	0.1894	0.30
γ₃	1.2540	4.84***
γ₄	-2.1733	-7.11***
γ₅	2.7586	4.01***
γ₆	-2.7610	-1.90*

V-Lab

ACI Formulations PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ACI Formulations PLC Analyses