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	0.8550	7.67***
αARCH	0.2847	4.55***
βGARCH	0.7149	11.50***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8550	7.67***
α ARCH Response to squared shocks	0.2847	4.55***
β GARCH Volatility persistence	0.7149	11.50***

V-Lab

Anya Polytech & Fertilizers Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Anya Polytech & Fertilizers Analyses