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	2.0325	4.88***
αARCH	0.2164	12.52***
βGARCH	0.7767	47.53***

γ₁	-0.0212	-1.20
γ₂	0.1038	3.46***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0325	4.88***
α ARCH Response to squared shocks	0.2164	12.52***
β GARCH Volatility persistence	0.7767	47.53***

γ₁	-0.0212	-1.20
γ₂	0.1038	3.46***

V-Lab

CP Capital Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CP Capital Ltd Analyses