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	1.8465	1.59
αARCH	0.1754	7.35***
βGARCH	0.8233	35.84***

γ₁	1.8974	1.70*
γ₂	-8.0022	-2.74***
γ₃	13.8030	3.34***
γ₄	-11.6476	-3.55***
γ₅	5.3956	4.21***
γ₆	-2.5287	-3.33***
γ₇	2.1115	3.39***
γ₈	-3.2450	-5.54***
γ₉	4.8297	5.55***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8465	1.59
α ARCH Response to squared shocks	0.1754	7.35***
β GARCH Volatility persistence	0.8233	35.84***

γ₁	1.8974	1.70*
γ₂	-8.0022	-2.74***
γ₃	13.8030	3.34***
γ₄	-11.6476	-3.55***
γ₅	5.3956	4.21***
γ₆	-2.5287	-3.33***
γ₇	2.1115	3.39***
γ₈	-3.2450	-5.54***
γ₉	4.8297	5.55***

V-Lab

Intermaket Securities Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Intermaket Securities Ltd Analyses