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	0.7407	1.78*
αARCH	0.1302	17.56***
βGARCH	0.8667	103.18***

γ₁	-0.0113	-0.83
γ₂	0.0552	2.05**
γ₃	-0.0971	-3.46***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7407	1.78*
α ARCH Response to squared shocks	0.1302	17.56***
β GARCH Volatility persistence	0.8667	103.18***

γ₁	-0.0113	-0.83
γ₂	0.0552	2.05**
γ₃	-0.0971	-3.46***

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Future Generation Australia Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Future Generation Australia Ltd Analyses