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	1.1844	1.58
αARCH	0.0244	1.14
βGARCH	0.8583	9.66***

γ₁	-7.5641	-2.36**
γ₂	11.6617	2.75***
γ₃	-4.8145	-3.05***
γ₄	0.9996	1.33
γ₅	-0.3276	-0.74
γ₆	-0.0007	0.00
γ₇	-0.2146	-0.53
γ₈	-0.2301	-0.37

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1844	1.58
α ARCH Response to squared shocks	0.0244	1.14
β GARCH Volatility persistence	0.8583	9.66***

γ₁	-7.5641	-2.36**
γ₂	11.6617	2.75***
γ₃	-4.8145	-3.05***
γ₄	0.9996	1.33
γ₅	-0.3276	-0.74
γ₆	-0.0007	0.00
γ₇	-0.2146	-0.53
γ₈	-0.2301	-0.37

V-Lab

Arko Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Arko Corp Analyses