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	1.8569	2.28**
αARCH	0.3011	5.72***
βGARCH	0.6986	13.38***

γ₁	-11.0945	-1.24
γ₂	3.3364	0.29
γ₃	8.4058	0.62
γ₄	-0.8708	-0.04
γ₅	10.1896	0.37
γ₆	8.4608	0.21
γ₇	-29.9397	-0.65
γ₈	-9.7850	-0.39

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8569	2.28**
α ARCH Response to squared shocks	0.3011	5.72***
β GARCH Volatility persistence	0.6986	13.38***

γ₁	-11.0945	-1.24
γ₂	3.3364	0.29
γ₃	8.4058	0.62
γ₄	-0.8708	-0.04
γ₅	10.1896	0.37
γ₆	8.4608	0.21
γ₇	-29.9397	-0.65
γ₈	-9.7850	-0.39

V-Lab

Halder Venture Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Halder Venture Limited Analyses