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	0.3866
αARCH	0.1332
βGARCH	0.8668

γ₁	-1.1828
γ₂	4.9609
γ₃	-7.8882
γ₄	6.7824
γ₅	-5.2101
γ₆	4.0137
γ₇	-1.4628
γ₈	-0.3974
γ₉	2.0624

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3866
α ARCH Response to squared shocks	0.1332
β GARCH Volatility persistence	0.8668

γ₁	-1.1828
γ₂	4.9609
γ₃	-7.8882
γ₄	6.7824
γ₅	-5.2101
γ₆	4.0137
γ₇	-1.4628
γ₈	-0.3974
γ₉	2.0624

V-Lab

Boldt Sa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Boldt Sa Analyses