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	1.4761	2.70***
αARCH	0.2226	6.03***
βGARCH	0.7767	21.26***

γ₁	-9.0587	-3.25***
γ₂	12.4551	2.70***
γ₃	3.4760	0.28
γ₄	-11.9046	-0.72

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4761	2.70***
α ARCH Response to squared shocks	0.2226	6.03***
β GARCH Volatility persistence	0.7767	21.26***

γ₁	-9.0587	-3.25***
γ₂	12.4551	2.70***
γ₃	3.4760	0.28
γ₄	-11.9046	-0.72

V-Lab

Halder Venture Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Halder Venture Limited Analyses