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	0.6946
αARCH	0.2461
βGARCH	0.7539

γ₁	1.2794
γ₂	-4.1362
γ₃	5.6932
γ₄	-4.1318
γ₅	1.3580
γ₆	-0.0591
γ₇	-0.1630
γ₈	0.4422
γ₉	-0.1671

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6946
α ARCH Response to squared shocks	0.2461
β GARCH Volatility persistence	0.7539

γ₁	1.2794
γ₂	-4.1362
γ₃	5.6932
γ₄	-4.1318
γ₅	1.3580
γ₆	-0.0591
γ₇	-0.1630
γ₈	0.4422
γ₉	-0.1671

V-Lab

3I Infotech Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other 3I Infotech Ltd Analyses