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	5.0000	0.20
αARCH	0.1584	0.99
βGARCH	0.7304	5.16***
γleverage	0.2223	0.24

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	0.20
α ARCH Response to squared shocks	0.1584	0.99
β GARCH Volatility persistence	0.7304	5.16***
γ leverage Additional response to negative shocks	0.2223	0.24

V-Lab

Ashika Global Securities Ltd Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ashika Global Securities Ltd Analyses