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	0.2444	1.86*
αARCH	0.2640	5.44***
βGARCH	0.7220	14.38***

γ₁	-23.7590	-5.57***
γ₂	31.1302	4.22***
γ₃	-19.5295	-2.49**
γ₄	25.9611	2.83***
γ₅	-19.7619	-2.65***
γ₆	1.9735	0.30
γ₇	12.8361	1.89*
γ₈	-13.4111	-2.19**
γ₉	7.2467	1.21

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2444	1.86*
α ARCH Response to squared shocks	0.2640	5.44***
β GARCH Volatility persistence	0.7220	14.38***

γ₁	-23.7590	-5.57***
γ₂	31.1302	4.22***
γ₃	-19.5295	-2.49**
γ₄	25.9611	2.83***
γ₅	-19.7619	-2.65***
γ₆	1.9735	0.30
γ₇	12.8361	1.89*
γ₈	-13.4111	-2.19**
γ₉	7.2467	1.21

V-Lab

Gorilla Techno Gro Inc -Redh Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Gorilla Techno Gro Inc -Redh Analyses