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	0.3996	3.13***
αARCH	0.0399	2.29**
βGARCH	0.8356	8.40***

γ₁	-0.6864	-0.77
γ₂	-1.6121	-1.22
γ₃	4.3412	4.36***
γ₄	-2.6962	-2.96***
γ₅	0.3266	0.47
γ₆	-0.4578	-0.73

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3996	3.13***
α ARCH Response to squared shocks	0.0399	2.29**
β GARCH Volatility persistence	0.8356	8.40***

γ₁	-0.6864	-0.77
γ₂	-1.6121	-1.22
γ₃	4.3412	4.36***
γ₄	-2.6962	-2.96***
γ₅	0.3266	0.47
γ₆	-0.4578	-0.73

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Contact Financial Holding Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Contact Financial Holding Analyses