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	0.9722	0.05
α ARCH Response to squared shocks	0.2099	0.00
β GARCH Volatility persistence	0.7901	0.01

γ₁	-0.2739	0.00
γ₂	-1.9185	-0.10
γ₃	4.9806	0.01
γ₄	-3.4548	-0.01
γ₅	1.1622	0.00
γ₆	-1.1777	-0.01
γ₇	0.6928	0.03
γ₈	0.0217	0.04

V-Lab

India Glycol Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other India Glycol Analyses