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	2.9875	0.00
α ARCH Response to squared shocks	0.6827	0.00
β GARCH Volatility persistence	0.3172	0.00

γ₁	-172.7564	0.00
γ₂	222.2262	0.00
γ₃	-56.1722	0.00
γ₄	18.2752	0.00
γ₅	-15.5443	-0.02
γ₆	20.5759	0.04
γ₇	-48.1591	-0.12
γ₈	63.5464	0.04

V-Lab

Ikoma Technologies Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ikoma Technologies Ltd Analyses