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	4.9713	2.44**
αARCH	0.1264	9.16***
βGARCH	0.8274	30.57***

γ₁	0.1346	2.60***
γ₂	-0.1743	-2.58***
γ₃	0.1123	4.27***
γ₄	-0.1557	-6.16***

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.9713	2.44**
α ARCH Response to squared shocks	0.1264	9.16***
β GARCH Volatility persistence	0.8274	30.57***

γ₁	0.1346	2.60***
γ₂	-0.1743	-2.58***
γ₃	0.1123	4.27***
γ₄	-0.1557	-6.16***

V-Lab

Altarea SCA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Altarea SCA Analyses