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	83.3027
αARCH	0.0883
βGARCH	0.9117

γ₁	0.2455
γ₂	-0.4366
γ₃	0.2201
γ₄	0.2374
γ₅	-1.1047
γ₆	2.3403

Parameter	Value	t-statistic
ω const Unconditional variance weight	83.3027
α ARCH Response to squared shocks	0.0883
β GARCH Volatility persistence	0.9117

γ₁	0.2455
γ₂	-0.4366
γ₃	0.2201
γ₄	0.2374
γ₅	-1.1047
γ₆	2.3403

V-Lab

Carlos Casado Sa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Carlos Casado Sa Analyses