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	1.2372	3.97***
αARCH	0.1137	7.54***
βGARCH	0.8820	49.20***

γ₁	1.1329	0.95
γ₂	-2.2251	-1.42
γ₃	1.8712	2.14**
γ₄	-1.2182	-1.31
γ₅	-1.0829	-0.98
γ₆	4.1664	3.53***
γ₇	-4.6357	-4.14***
γ₈	5.0148	2.74***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2372	3.97***
α ARCH Response to squared shocks	0.1137	7.54***
β GARCH Volatility persistence	0.8820	49.20***

γ₁	1.1329	0.95
γ₂	-2.2251	-1.42
γ₃	1.8712	2.14**
γ₄	-1.2182	-1.31
γ₅	-1.0829	-0.98
γ₆	4.1664	3.53***
γ₇	-4.6357	-4.14***
γ₈	5.0148	2.74***

V-Lab

Vinacomin Halam Coal Jsc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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