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	1.2157	5.66***
αARCH	0.1379	12.73***
βGARCH	0.8585	86.74***

γ₁	-0.1262	-1.89*
γ₂	0.0995	0.87
γ₃	0.4309	3.28***
γ₄	-0.9933	-4.81***
γ₅	1.0338	3.72***
γ₆	-0.7715	-3.03***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2157	5.66***
α ARCH Response to squared shocks	0.1379	12.73***
β GARCH Volatility persistence	0.8585	86.74***

γ₁	-0.1262	-1.89*
γ₂	0.0995	0.87
γ₃	0.4309	3.28***
γ₄	-0.9933	-4.81***
γ₅	1.0338	3.72***
γ₆	-0.7715	-3.03***

V-Lab

Ballys Intralot SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ballys Intralot SA Analyses