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	1.6288	4.06***
αARCH	0.1203	14.24***
βGARCH	0.8558	86.05***

γ₁	-0.6745	-10.18***
γ₂	1.0726	10.63***
γ₃	-0.4277	-6.08***
γ₄	0.0052	0.10
γ₅	0.1045	2.30**
γ₆	-0.1212	-2.58**
γ₇	0.0510	0.70

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6288	4.06***
α ARCH Response to squared shocks	0.1203	14.24***
β GARCH Volatility persistence	0.8558	86.05***

γ₁	-0.6745	-10.18***
γ₂	1.0726	10.63***
γ₃	-0.4277	-6.08***
γ₄	0.0052	0.10
γ₅	0.1045	2.30**
γ₆	-0.1212	-2.58**
γ₇	0.0510	0.70

V-Lab

ICADE Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other ICADE Analyses