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

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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	0.3589	1.65*
αARCH	0.2735	5.67***
βGARCH	0.7208	14.73***

γ₁	-24.9136	-5.39***
γ₂	32.7855	4.11***
γ₃	-20.7886	-2.41**
γ₄	27.0928	2.71***
γ₅	-19.6283	-2.27**
γ₆	0.8759	0.11
γ₇	12.9384	1.67*
γ₈	-11.4009	-1.76*
γ₉	3.1887	0.48

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3589	1.65*
α ARCH Response to squared shocks	0.2735	5.67***
β GARCH Volatility persistence	0.7208	14.73***

γ₁	-24.9136	-5.39***
γ₂	32.7855	4.11***
γ₃	-20.7886	-2.41**
γ₄	27.0928	2.71***
γ₅	-19.6283	-2.27**
γ₆	0.8759	0.11
γ₇	12.9384	1.67*
γ₈	-11.4009	-1.76*
γ₉	3.1887	0.48

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