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	1.8226	4.36***
αARCH	0.1207	14.75***
βGARCH	0.8596	89.48***

γ₁	-0.4909	-9.90***
γ₂	0.8629	11.61***
γ₃	-0.4916	-10.28***
γ₄	0.1990	4.79***
γ₅	-0.0898	-2.12**
γ₆	-0.0127	-0.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8226	4.36***
α ARCH Response to squared shocks	0.1207	14.75***
β GARCH Volatility persistence	0.8596	89.48***

γ₁	-0.4909	-9.90***
γ₂	0.8629	11.61***
γ₃	-0.4916	-10.28***
γ₄	0.1990	4.79***
γ₅	-0.0898	-2.12**
γ₆	-0.0127	-0.22

V-Lab

ICADE Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ICADE Analyses