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	0.9765	0.18
αARCH	0.2032	0.03
βGARCH	0.7968	0.11

γ₁	-0.4967	-0.18
γ₂	0.8638	0.19
γ₃	-0.5751	-0.21
γ₄	0.3336	0.25

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9765	0.18
α ARCH Response to squared shocks	0.2032	0.03
β GARCH Volatility persistence	0.7968	0.11

γ₁	-0.4967	-0.18
γ₂	0.8638	0.19
γ₃	-0.5751	-0.21
γ₄	0.3336	0.25

V-Lab

Creditwest Factoring Hizmetl Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Creditwest Factoring Hizmetl Analyses