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	0.4098	2.90***
αARCH	0.0528	2.86***
βGARCH	0.8277	10.09***

γ₁	-0.7705	-0.83
γ₂	-1.3640	-0.99
γ₃	4.0916	3.89***
γ₄	-2.6156	-2.73***
γ₅	0.1302	0.17
γ₆	0.7977	1.10

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4098	2.90***
α ARCH Response to squared shocks	0.0528	2.86***
β GARCH Volatility persistence	0.8277	10.09***

γ₁	-0.7705	-0.83
γ₂	-1.3640	-0.99
γ₃	4.0916	3.89***
γ₄	-2.6156	-2.73***
γ₅	0.1302	0.17
γ₆	0.7977	1.10

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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