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	0.4415	2.16**
αARCH	0.0000	0.00
βGARCH	0.9152	6.40***

γ₁	-33.1586	-0.32
γ₂	147.4781	0.84
γ₃	-253.5332	-1.73*
γ₄	256.8830	2.03**
γ₅	-274.0521	-2.93***
γ₆	374.6732	4.03***
γ₇	-400.1713	-3.33***
γ₈	304.8677	2.13**
γ₉	-111.8621	-0.66

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4415	2.16**
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9152	6.40***

γ₁	-33.1586	-0.32
γ₂	147.4781	0.84
γ₃	-253.5332	-1.73*
γ₄	256.8830	2.03**
γ₅	-274.0521	-2.93***
γ₆	374.6732	4.03***
γ₇	-400.1713	-3.33***
γ₈	304.8677	2.13**
γ₉	-111.8621	-0.66

V-Lab

Concord Acquisition Corp II Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Concord Acquisition Corp II Analyses