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	0.5949	2.79***
αARCH	0.0329	3.19***
βGARCH	0.9341	48.25***

γ₁	-0.5560	-3.38***
γ₂	0.8392	3.42***
γ₃	-0.5830	-3.60***
γ₄	0.6790	5.07***
γ₅	-0.5862	-4.50***
γ₆	0.3578	2.37**
γ₇	-0.2985	-1.91*
γ₈	0.0151	0.07
γ₉	0.7882	1.84*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5949	2.79***
α ARCH Response to squared shocks	0.0329	3.19***
β GARCH Volatility persistence	0.9341	48.25***

γ₁	-0.5560	-3.38***
γ₂	0.8392	3.42***
γ₃	-0.5830	-3.60***
γ₄	0.6790	5.07***
γ₅	-0.5862	-4.50***
γ₆	0.3578	2.37**
γ₇	-0.2985	-1.91*
γ₈	0.0151	0.07
γ₉	0.7882	1.84*

V-Lab

Bell Equipment Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bell Equipment Ltd Analyses