How volatility evolves over time

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{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	0.8858	2.29**
αARCH	0.1431	1.96*
βGARCH	0.3396	1.26

γ₁	34.4098	1.91*
γ₂	-94.8339	-3.72***
γ₃	122.8692	8.22***
γ₄	-86.4505	-5.71***
γ₅	28.6755	1.39
γ₆	-17.4221	-0.77
γ₇	30.5792	1.66*
γ₈	-25.5642	-1.66*
γ₉	3.8265	0.16

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8858	2.29**
α ARCH Response to squared shocks	0.1431	1.96*
β GARCH Volatility persistence	0.3396	1.26

γ₁	34.4098	1.91*
γ₂	-94.8339	-3.72***
γ₃	122.8692	8.22***
γ₄	-86.4505	-5.71***
γ₅	28.6755	1.39
γ₆	-17.4221	-0.77
γ₇	30.5792	1.66*
γ₈	-25.5642	-1.66*
γ₉	3.8265	0.16

V-Lab

Tipharco Pharmaceutical Join Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tipharco Pharmaceutical Join Analyses