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	2.3375	3.22***
αARCH	0.1451	9.75***
βGARCH	0.8179	41.62***

γ₁	-0.0735	-1.07
γ₂	0.3251	3.54***
γ₃	-0.4312	-7.45***
γ₄	0.2248	3.08***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3375	3.22***
α ARCH Response to squared shocks	0.1451	9.75***
β GARCH Volatility persistence	0.8179	41.62***

γ₁	-0.0735	-1.07
γ₂	0.3251	3.54***
γ₃	-0.4312	-7.45***
γ₄	0.2248	3.08***

V-Lab

Curro Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Curro Holdings Ltd Analyses