How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	9.9250	2.13**
αARCH	0.1681	4.69***
βGARCH	0.8281	22.03***

γ₁	0.1909	0.32
γ₂	0.8832	1.07
γ₃	-2.3540	-4.70***
γ₄	2.0278	3.81***
γ₅	-1.0750	-1.90*
γ₆	0.9938	1.70*
γ₇	-5.6316	-6.83***
γ₈	12.0642	7.98***

Parameter	Value	t-statistic
ω const Unconditional variance weight	9.9250	2.13**
α ARCH Response to squared shocks	0.1681	4.69***
β GARCH Volatility persistence	0.8281	22.03***

γ₁	0.1909	0.32
γ₂	0.8832	1.07
γ₃	-2.3540	-4.70***
γ₄	2.0278	3.81***
γ₅	-1.0750	-1.90*
γ₆	0.9938	1.70*
γ₇	-5.6316	-6.83***
γ₈	12.0642	7.98***

V-Lab

Digital Network SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Digital Network SA Analyses