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	2.5149	3.43***
αARCH	0.0759	6.52***
βGARCH	0.9045	56.13***

γ₁	0.2066	3.93***
γ₂	-0.4190	-4.86***
γ₃	0.3411	4.58***
γ₄	-0.1959	-2.53**
γ₅	0.1480	1.78*
γ₆	-0.0681	-0.89
γ₇	-0.1711	-1.21

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.5149	3.43***
α ARCH Response to squared shocks	0.0759	6.52***
β GARCH Volatility persistence	0.9045	56.13***

γ₁	0.2066	3.93***
γ₂	-0.4190	-4.86***
γ₃	0.3411	4.58***
γ₄	-0.1959	-2.53**
γ₅	0.1480	1.78*
γ₆	-0.0681	-0.89
γ₇	-0.1711	-1.21

V-Lab

Hudaco Industries Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Hudaco Industries Ltd Analyses