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	1.6577	4.58***
αARCH	0.0586	4.93***
βGARCH	0.9407	76.77***

γ₁	-0.5618	-2.12**
γ₂	0.8740	2.36**
γ₃	-1.1755	-2.74***
γ₄	2.6683	2.60***
γ₅	-3.4039	-2.83***
γ₆	2.3554	2.97***
γ₇	-0.9810	-2.43**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6577	4.58***
α ARCH Response to squared shocks	0.0586	4.93***
β GARCH Volatility persistence	0.9407	76.77***

γ₁	-0.5618	-2.12**
γ₂	0.8740	2.36**
γ₃	-1.1755	-2.74***
γ₄	2.6683	2.60***
γ₅	-3.4039	-2.83***
γ₆	2.3554	2.97***
γ₇	-0.9810	-2.43**

V-Lab

Imdex Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Imdex Ltd Analyses