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	3.0480	3.83***
αARCH	0.1781	11.46***
βGARCH	0.8182	57.31***

γ₁	0.2529	1.75*
γ₂	-0.3759	-1.74*
γ₃	0.0569	0.42
γ₄	0.3637	3.29***
γ₅	-1.4069	-4.60***
γ₆	2.2146	3.37***
γ₇	-0.6942	-0.69
γ₈	-1.6907	-1.47
γ₉	2.6151	2.93***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.0480	3.83***
α ARCH Response to squared shocks	0.1781	11.46***
β GARCH Volatility persistence	0.8182	57.31***

γ₁	0.2529	1.75*
γ₂	-0.3759	-1.74*
γ₃	0.0569	0.42
γ₄	0.3637	3.29***
γ₅	-1.4069	-4.60***
γ₆	2.2146	3.37***
γ₇	-0.6942	-0.69
γ₈	-1.6907	-1.47
γ₉	2.6151	2.93***

V-Lab

Central Costanera Sa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Central Costanera Sa Analyses