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	1.8864	2.48**
αARCH	0.2839	7.10***
βGARCH	0.7154	17.95***

γ₁	-9.0252	-4.53***
γ₂	8.5745	1.54
γ₃	15.5680	0.94
γ₄	-25.9595	-1.32

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8864	2.48**
α ARCH Response to squared shocks	0.2839	7.10***
β GARCH Volatility persistence	0.7154	17.95***

γ₁	-9.0252	-4.53***
γ₂	8.5745	1.54
γ₃	15.5680	0.94
γ₄	-25.9595	-1.32

V-Lab

Halder Venture Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Halder Venture Limited Analyses