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	0.7035	4.81***
αARCH	0.1824	8.50***
βGARCH	0.8151	36.80***

γ₁	-2.2387	-5.44***
γ₂	3.3344	4.22***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7035	4.81***
α ARCH Response to squared shocks	0.1824	8.50***
β GARCH Volatility persistence	0.8151	36.80***

γ₁	-2.2387	-5.44***
γ₂	3.3344	4.22***

V-Lab

Asia Medical and Agricultural Laboratory and Research Center PCL Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Asia Medical and Agricultural Laboratory and Research Center PCL Analyses