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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0581	2.04**
α ARCH Response to squared shocks	0.1429	6.60***
β GARCH Volatility persistence	0.8470	45.01***

γ₁	-4.3730	-2.14**
γ₂	7.2641	2.02**
γ₃	-3.9547	-1.84*
γ₄	1.3504	1.93*
γ₅	-0.2210	-0.55
γ₆	-0.2664	-0.68
γ₇	0.3451	0.81
γ₈	-0.1641	-0.33

V-Lab

Corporate Travel Management Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Corporate Travel Management Ltd Analyses