How volatility evolves over time

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How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.2955	3.48***
αARCH	0.1944	9.31***
βGARCH	0.7896	37.15***

γ₁	-0.2277	-0.47
γ₂	1.2085	1.30
γ₃	-1.9697	-1.81*
γ₄	0.6515	0.62
γ₅	1.7250	2.15**
γ₆	-2.6846	-3.50***
γ₇	1.1442	1.78*
γ₈	1.7612	2.67***
γ₉	-5.7731	-3.91***
γ₁₀	12.0577	4.70***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2955	3.48***
α ARCH Response to squared shocks	0.1944	9.31***
β GARCH Volatility persistence	0.7896	37.15***

γ₁	-0.2277	-0.47
γ₂	1.2085	1.30
γ₃	-1.9697	-1.81*
γ₄	0.6515	0.62
γ₅	1.7250	2.15**
γ₆	-2.6846	-3.50***
γ₇	1.1442	1.78*
γ₈	1.7612	2.67***
γ₉	-5.7731	-3.91***
γ₁₀	12.0577	4.70***

V-Lab

Grp Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Grp Ltd Analyses