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	0.6313	3.76***
αARCH	0.2911	6.38***
βGARCH	0.5971	7.90***

γ₁	-7.0741	-1.54
γ₂	5.4165	0.78
γ₃	8.4039	1.70*
γ₄	-26.3665	-3.95***
γ₅	51.2924	4.10***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6313	3.76***
α ARCH Response to squared shocks	0.2911	6.38***
β GARCH Volatility persistence	0.5971	7.90***

γ₁	-7.0741	-1.54
γ₂	5.4165	0.78
γ₃	8.4039	1.70*
γ₄	-26.3665	-3.95***
γ₅	51.2924	4.10***

V-Lab

Froey AS Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Froey AS Analyses