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	0.8072	5.02***
αARCH	0.1428	5.07***
βGARCH	0.7767	16.87***

γ₁	-0.1898	-1.85*
γ₂	0.5011	3.47***
γ₃	-0.7151	-5.43***
γ₄	0.7073	3.24***
γ₅	-0.7226	-2.54**
γ₆	0.6709	2.81***
γ₇	-0.1395	-1.10
γ₈	-0.3209	-3.91***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8072	5.02***
α ARCH Response to squared shocks	0.1428	5.07***
β GARCH Volatility persistence	0.7767	16.87***

γ₁	-0.1898	-1.85*
γ₂	0.5011	3.47***
γ₃	-0.7151	-5.43***
γ₄	0.7073	3.24***
γ₅	-0.7226	-2.54**
γ₆	0.6709	2.81***
γ₇	-0.1395	-1.10
γ₈	-0.3209	-3.91***

V-Lab

Centuria Capital Group Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Centuria Capital Group Analyses