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	1.4009	1.78*
αARCH	0.2442	7.04***
βGARCH	0.7555	21.74***

γ₁	-0.5133	-1.28
γ₂	0.7057	1.24
γ₃	-1.9614	-3.95***
γ₄	6.0355	5.65***
γ₅	-7.5221	-5.78***
γ₆	2.5074	1.76*
γ₇	3.1780	1.34
γ₈	-4.0263	-1.70*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4009	1.78*
α ARCH Response to squared shocks	0.2442	7.04***
β GARCH Volatility persistence	0.7555	21.74***

γ₁	-0.5133	-1.28
γ₂	0.7057	1.24
γ₃	-1.9614	-3.95***
γ₄	6.0355	5.65***
γ₅	-7.5221	-5.78***
γ₆	2.5074	1.76*
γ₇	3.1780	1.34
γ₈	-4.0263	-1.70*

V-Lab

Dadabhoy Cement Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Dadabhoy Cement Analyses