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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6995	2.43**
α ARCH Response to squared shocks	0.3183	7.25***
β GARCH Volatility persistence	0.6319	20.80***

γ₁	1.1631	3.00***
γ₂	-1.1664	-1.88*
γ₃	0.4593	0.79
γ₄	-0.4503	-0.75
γ₅	-0.9554	-2.06**
γ₆	1.8677	4.59***
γ₇	-2.5799	-4.56***
γ₈	3.7964	5.55***
γ₉	-4.3642	-7.15***
γ₁₀	3.6155	3.53***

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Itafos Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Itafos Inc Analyses