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	0.4000	3.06***
αARCH	0.0467	2.53**
βGARCH	0.8223	8.48***

γ₁	-0.7247	-0.80
γ₂	-1.5234	-1.13
γ₃	4.2600	4.21***
γ₄	-2.6528	-2.87***
γ₅	0.2184	0.31
γ₆	0.0675	0.10

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4000	3.06***
α ARCH Response to squared shocks	0.0467	2.53**
β GARCH Volatility persistence	0.8223	8.48***

γ₁	-0.7247	-0.80
γ₂	-1.5234	-1.13
γ₃	4.2600	4.21***
γ₄	-2.6528	-2.87***
γ₅	0.2184	0.31
γ₆	0.0675	0.10

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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