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	2.8532	5.84***
αARCH	0.1075	13.28***
βGARCH	0.8778	94.00***

γ₁	-0.0216	-1.16
γ₂	0.0772	2.51**
γ₃	-0.1206	-5.30***
γ₄	0.1238	6.56***
γ₅	-0.1167	-4.44***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.8532	5.84***
α ARCH Response to squared shocks	0.1075	13.28***
β GARCH Volatility persistence	0.8778	94.00***

γ₁	-0.0216	-1.16
γ₂	0.0772	2.51**
γ₃	-0.1206	-5.30***
γ₄	0.1238	6.56***
γ₅	-0.1167	-4.44***

V-Lab

Intershop Holding AG Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Intershop Holding AG Analyses