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	1.3316	6.53***
αARCH	0.1681	4.76***
βGARCH	0.4967	5.31***

γ₁	-0.7731	-5.85***
γ₂	1.1281	6.18***
γ₃	-0.4911	-3.58***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3316	6.53***
α ARCH Response to squared shocks	0.1681	4.76***
β GARCH Volatility persistence	0.4967	5.31***

γ₁	-0.7731	-5.85***
γ₂	1.1281	6.18***
γ₃	-0.4911	-3.58***

V-Lab

Conduit Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Conduit Holdings Ltd Analyses