How volatility evolves over time

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{name} Model Equation

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	0.2467	1.90*
αARCH	0.2624	5.48***
βGARCH	0.7237	14.65***

γ₁	-23.4299	-5.57***
γ₂	30.6553	4.22***
γ₃	-19.2293	-2.49**
γ₄	25.8758	2.82***
γ₅	-20.1480	-2.74***
γ₆	2.5699	0.41
γ₇	12.8643	1.93*
γ₈	-14.7673	-2.39**
γ₉	11.0460	1.78*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2467	1.90*
α ARCH Response to squared shocks	0.2624	5.48***
β GARCH Volatility persistence	0.7237	14.65***

γ₁	-23.4299	-5.57***
γ₂	30.6553	4.22***
γ₃	-19.2293	-2.49**
γ₄	25.8758	2.82***
γ₅	-20.1480	-2.74***
γ₆	2.5699	0.41
γ₇	12.8643	1.93*
γ₈	-14.7673	-2.39**
γ₉	11.0460	1.78*

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