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	1.7133	4.98***
αARCH	0.1917	9.95***
βGARCH	0.7996	34.53***

γ₁	-0.4725	-3.50***
γ₂	1.0446	4.72***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7133	4.98***
α ARCH Response to squared shocks	0.1917	9.95***
β GARCH Volatility persistence	0.7996	34.53***

γ₁	-0.4725	-3.50***
γ₂	1.0446	4.72***

V-Lab

Global Education Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Global Education Ltd Analyses