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	0.8858	3.55***
αARCH	0.1657	10.11***
βGARCH	0.8323	51.03***

γ₁	-0.2528	-3.24***
γ₂	0.4675	3.79***
γ₃	-0.4860	-4.87***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8858	3.55***
α ARCH Response to squared shocks	0.1657	10.11***
β GARCH Volatility persistence	0.8323	51.03***

γ₁	-0.2528	-3.24***
γ₂	0.4675	3.79***
γ₃	-0.4860	-4.87***

V-Lab

East West Banking Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other East West Banking Corp Analyses