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	2.5324	3.73***
αARCH	0.1149	3.47***
βGARCH	0.8232	15.30***

γ₁	-0.1913	-1.99**
γ₂	0.2927	2.16**
γ₃	-0.0520	-0.47

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.5324	3.73***
α ARCH Response to squared shocks	0.1149	3.47***
β GARCH Volatility persistence	0.8232	15.30***

γ₁	-0.1913	-1.99**
γ₂	0.2927	2.16**
γ₃	-0.0520	-0.47

V-Lab

EBOS Group Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other EBOS Group Limited Analyses