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	0.6795	2.36**
αARCH	0.1304	17.82***
βGARCH	0.8678	106.55***

γ₁	-0.0943	-3.40***
γ₂	0.1973	3.80***
γ₃	-0.1299	-2.98***
γ₄	-0.0107	-0.21

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6795	2.36**
α ARCH Response to squared shocks	0.1304	17.82***
β GARCH Volatility persistence	0.8678	106.55***

γ₁	-0.0943	-3.40***
γ₂	0.1973	3.80***
γ₃	-0.1299	-2.98***
γ₄	-0.0107	-0.21

V-Lab

Future Generation Australia Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Future Generation Australia Ltd Analyses