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	3.0857	2.67***
αARCH	0.2128	15.27***
βGARCH	0.7798	69.48***

γ₁	-0.4233	-1.49
γ₂	0.6978	1.70*
γ₃	-0.8644	-3.94***
γ₄	1.5666	7.62***
γ₅	-2.2697	-5.92***
γ₆	2.4079	3.97***
γ₇	-3.0250	-4.80***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.0857	2.67***
α ARCH Response to squared shocks	0.2128	15.27***
β GARCH Volatility persistence	0.7798	69.48***

γ₁	-0.4233	-1.49
γ₂	0.6978	1.70*
γ₃	-0.8644	-3.94***
γ₄	1.5666	7.62***
γ₅	-2.2697	-5.92***
γ₆	2.4079	3.97***
γ₇	-3.0250	-4.80***

V-Lab

Ferrum Sa Ceramica Y Metallu Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ferrum Sa Ceramica Y Metallu Analyses