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	2.0505	5.70***
αARCH	0.0848	8.70***
βGARCH	0.9020	76.50***

γ₁	-0.0444	-2.93***
γ₂	0.0497	2.00**
γ₃	-0.0244	-1.14
γ₄	0.0688	3.82***
γ₅	-0.1150	-6.63***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0505	5.70***
α ARCH Response to squared shocks	0.0848	8.70***
β GARCH Volatility persistence	0.9020	76.50***

γ₁	-0.0444	-2.93***
γ₂	0.0497	2.00**
γ₃	-0.0244	-1.14
γ₄	0.0688	3.82***
γ₅	-0.1150	-6.63***

V-Lab

Flexsteel Industries Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Flexsteel Industries Inc Analyses