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	4.7868	4.56***
αARCH	0.2082	4.37***
βGARCH	0.7849	16.66***

γ₁	-3.7729	-1.58
γ₂	8.0373	1.53
γ₃	-5.5304	-1.35
γ₄	0.7969	0.61
γ₅	0.3000	0.84
γ₆	0.6333	2.04**
γ₇	-0.4840	-1.00

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.7868	4.56***
α ARCH Response to squared shocks	0.2082	4.37***
β GARCH Volatility persistence	0.7849	16.66***

γ₁	-3.7729	-1.58
γ₂	8.0373	1.53
γ₃	-5.5304	-1.35
γ₄	0.7969	0.61
γ₅	0.3000	0.84
γ₆	0.6333	2.04**
γ₇	-0.4840	-1.00

V-Lab

De Nora India Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other De Nora India Ltd Analyses