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	4.9790	2.44**
αARCH	0.1268	9.15***
βGARCH	0.8270	30.47***

γ₁	0.1363	2.61***
γ₂	-0.1769	-2.60***
γ₃	0.1139	4.33***
γ₄	-0.1556	-6.25***

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.9790	2.44**
α ARCH Response to squared shocks	0.1268	9.15***
β GARCH Volatility persistence	0.8270	30.47***

γ₁	0.1363	2.61***
γ₂	-0.1769	-2.60***
γ₃	0.1139	4.33***
γ₄	-0.1556	-6.25***

V-Lab

Altarea SCA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Altarea SCA Analyses