How volatility evolves over time

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{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	0.4293	4.60***
αARCH	0.1506	2.84***
βGARCH	0.4967	3.70***

γ₁	0.8171	2.24**
γ₂	-0.9191	-1.67*
γ₃	0.5072	1.05
γ₄	-1.8596	-3.29***
γ₅	3.1606	5.03***
γ₆	-2.6950	-3.53***
γ₇	0.3401	0.39
γ₈	1.4181	1.58

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4293	4.60***
α ARCH Response to squared shocks	0.1506	2.84***
β GARCH Volatility persistence	0.4967	3.70***

γ₁	0.8171	2.24**
γ₂	-0.9191	-1.67*
γ₃	0.5072	1.05
γ₄	-1.8596	-3.29***
γ₅	3.1606	5.03***
γ₆	-2.6950	-3.53***
γ₇	0.3401	0.39
γ₈	1.4181	1.58

V-Lab

Societe Ivoirienne de Cables SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Societe Ivoirienne de Cables SA Analyses