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	0.3570	1.62
αARCH	0.2751	5.62***
βGARCH	0.7193	14.46***

γ₁	-25.2662	-5.38***
γ₂	33.2534	4.09***
γ₃	-20.9261	-2.41**
γ₄	26.8973	2.71***
γ₅	-19.1756	-2.18**
γ₆	0.6550	0.08
γ₇	12.3097	1.61
γ₈	-9.3277	-1.48
γ₉	-1.8606	-0.24

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3570	1.62
α ARCH Response to squared shocks	0.2751	5.62***
β GARCH Volatility persistence	0.7193	14.46***

γ₁	-25.2662	-5.38***
γ₂	33.2534	4.09***
γ₃	-20.9261	-2.41**
γ₄	26.8973	2.71***
γ₅	-19.1756	-2.18**
γ₆	0.6550	0.08
γ₇	12.3097	1.61
γ₈	-9.3277	-1.48
γ₉	-1.8606	-0.24

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