How volatility evolves over time

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{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	0.8813	0.02
αARCH	0.1122	0.00
βGARCH	0.8878	0.02

γ₁	0.3096	0.00
γ₂	0.1052	0.00
γ₃	-3.1121	-0.15
γ₄	5.2724	0.03
γ₅	-3.0957	-0.01
γ₆	-0.2581	0.00
γ₇	1.5507	0.00
γ₈	-1.1825	-0.01
γ₉	0.6016	0.09

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8813	0.02
α ARCH Response to squared shocks	0.1122	0.00
β GARCH Volatility persistence	0.8878	0.02

γ₁	0.3096	0.00
γ₂	0.1052	0.00
γ₃	-3.1121	-0.15
γ₄	5.2724	0.03
γ₅	-3.0957	-0.01
γ₆	-0.2581	0.00
γ₇	1.5507	0.00
γ₈	-1.1825	-0.01
γ₉	0.6016	0.09

V-Lab

Artistic Denim Mills Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Artistic Denim Mills Ltd Analyses