How volatility evolves over time

How illiquidity evolves over time

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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	17.3102
αARCH	0.0973
βGARCH	0.9027

γ₁	0.9909
γ₂	-1.8319
γ₃	1.1706
γ₄	-4.3719
γ₅	6.6801
γ₆	2.9849
γ₇	-14.1420
γ₈	15.3341

Parameter	Value	t-statistic
ω const Unconditional variance weight	17.3102
α ARCH Response to squared shocks	0.0973
β GARCH Volatility persistence	0.9027

γ₁	0.9909
γ₂	-1.8319
γ₃	1.1706
γ₄	-4.3719
γ₅	6.6801
γ₆	2.9849
γ₇	-14.1420
γ₈	15.3341

V-Lab

Ateliers Mecaniduqes Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ateliers Mecaniduqes Analyses