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	1.1486	3.18***
αARCH	0.2695	5.59***
βGARCH	0.7108	16.60***

γ₁	2.4679	0.58
γ₂	-4.7706	-0.77
γ₃	6.9056	1.35
γ₄	-29.8122	-2.09**
γ₅	55.8846	2.16**
γ₆	-35.3407	-1.58
γ₇	0.3712	0.02
γ₈	3.5737	0.41

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1486	3.18***
α ARCH Response to squared shocks	0.2695	5.59***
β GARCH Volatility persistence	0.7108	16.60***

γ₁	2.4679	0.58
γ₂	-4.7706	-0.77
γ₃	6.9056	1.35
γ₄	-29.8122	-2.09**
γ₅	55.8846	2.16**
γ₆	-35.3407	-1.58
γ₇	0.3712	0.02
γ₈	3.5737	0.41

V-Lab

Better Home & Finance HLG Co Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Better Home & Finance HLG Co Analyses