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	0.9640	3.49***
αARCH	0.0966	1.50
βGARCH	0.0967	0.30

γ₁	9.4757	2.92***
γ₂	-11.6736	-2.10**
γ₃	-5.8784	-1.07
γ₄	18.7161	3.82***
γ₅	-17.3594	-4.50***
γ₆	9.6091	1.90*
γ₇	-14.6102	-1.50

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9640	3.49***
α ARCH Response to squared shocks	0.0966	1.50
β GARCH Volatility persistence	0.0967	0.30

γ₁	9.4757	2.92***
γ₂	-11.6736	-2.10**
γ₃	-5.8784	-1.07
γ₄	18.7161	3.82***
γ₅	-17.3594	-4.50***
γ₆	9.6091	1.90*
γ₇	-14.6102	-1.50

V-Lab

CEPS PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CEPS PLC Analyses