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	0.9020	1.30
αARCH	0.0468	6.82***
βGARCH	0.9337	175.31***
γleverage	0.0386	3.24***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9020	1.30
α ARCH Response to squared shocks	0.0468	6.82***
β GARCH Volatility persistence	0.9337	175.31***
γ leverage Additional response to negative shocks	0.0386	3.24***

V-Lab

Hain Celestial Group Inc/The Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hain Celestial Group Inc/The Analyses