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	1.0794	3.27***
αARCH	0.2247	5.75***
βGARCH	0.7323	19.15***

γ₁	0.0690	0.58
γ₂	-0.2112	-1.16
γ₃	0.5006	3.86***
γ₄	-0.6117	-3.89***
γ₅	0.2478	1.37
γ₆	0.3534	2.29**
γ₇	-0.9724	-4.94***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0794	3.27***
α ARCH Response to squared shocks	0.2247	5.75***
β GARCH Volatility persistence	0.7323	19.15***

γ₁	0.0690	0.58
γ₂	-0.2112	-1.16
γ₃	0.5006	3.86***
γ₄	-0.6117	-3.89***
γ₅	0.2478	1.37
γ₆	0.3534	2.29**
γ₇	-0.9724	-4.94***

V-Lab

Excelsior Capital Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Excelsior Capital Ltd Analyses