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	4.3630	4.43***
αARCH	0.1203	8.39***
βGARCH	0.8383	33.93***

γ₁	-0.0565	-0.72
γ₂	0.1255	1.11
γ₃	0.0529	0.95
γ₄	-0.2946	-7.06***
γ₅	0.2144	3.48***

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.3630	4.43***
α ARCH Response to squared shocks	0.1203	8.39***
β GARCH Volatility persistence	0.8383	33.93***

γ₁	-0.0565	-0.72
γ₂	0.1255	1.11
γ₃	0.0529	0.95
γ₄	-0.2946	-7.06***
γ₅	0.2144	3.48***

V-Lab

Burkhalter Holding Ag Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Burkhalter Holding Ag Analyses