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	0.7213	6.38***
αARCH	0.2014	9.28***
βGARCH	0.7985	36.79***

γ₁	-3.0401	-2.09**
γ₂	9.6948	3.04***
γ₃	-10.3387	-3.51***
γ₄	3.8938	2.97***
γ₅	-1.4594	-3.17***
γ₆	2.9430	6.92***
γ₇	-2.3136	-5.94***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7213	6.38***
α ARCH Response to squared shocks	0.2014	9.28***
β GARCH Volatility persistence	0.7985	36.79***

γ₁	-3.0401	-2.09**
γ₂	9.6948	3.04***
γ₃	-10.3387	-3.51***
γ₄	3.8938	2.97***
γ₅	-1.4594	-3.17***
γ₆	2.9430	6.92***
γ₇	-2.3136	-5.94***

V-Lab

Apex Investment Company Psc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Apex Investment Company Psc Analyses