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	2.5857	0.00
αARCH	0.6460	0.00
βGARCH	0.3539	0.00

γ₁	-171.6840	0.00
γ₂	223.8917	0.00
γ₃	-57.5867	0.00
γ₄	12.1095	0.00
γ₅	-5.6788	0.00
γ₆	6.1756	0.00
γ₇	-24.6282	-0.02
γ₈	32.8263	0.34

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.5857	0.00
α ARCH Response to squared shocks	0.6460	0.00
β GARCH Volatility persistence	0.3539	0.00

γ₁	-171.6840	0.00
γ₂	223.8917	0.00
γ₃	-57.5867	0.00
γ₄	12.1095	0.00
γ₅	-5.6788	0.00
γ₆	6.1756	0.00
γ₇	-24.6282	-0.02
γ₈	32.8263	0.34

V-Lab

Ikoma Technologies Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ikoma Technologies Ltd Analyses