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	2.7707	3.59***
αARCH	0.3464	8.22***
βGARCH	0.6438	15.42***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.7707	3.59***
α ARCH Response to squared shocks	0.3464	8.22***
β GARCH Volatility persistence	0.6438	15.42***

V-Lab

Dj Mediaprint & Logistics Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Dj Mediaprint & Logistics Analyses