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	1.8144	4.13***
αARCH	0.0878	6.41***
βGARCH	0.8990	65.58***

γ₁	-0.0819	-5.03***
γ₂	0.0913	4.39***
γ₃	0.0392	3.09***
γ₄	-0.0638	-4.29***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8144	4.13***
α ARCH Response to squared shocks	0.0878	6.41***
β GARCH Volatility persistence	0.8990	65.58***

γ₁	-0.0819	-5.03***
γ₂	0.0913	4.39***
γ₃	0.0392	3.09***
γ₄	-0.0638	-4.29***

V-Lab

Duerr AG Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Duerr AG Analyses