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	0.6062	2.02**
αARCH	0.1760	5.40***
βGARCH	0.6924	14.44***

γ₁	-1.5072	-0.55
γ₂	-1.9860	-0.44
γ₃	7.3753	2.32**
γ₄	-5.5095	-2.77***
γ₅	2.5719	2.04**
γ₆	-2.1254	-1.84*
γ₇	1.9470	1.94*
γ₈	-1.9877	-2.18**
γ₉	2.1257	2.16**
γ₁₀	-0.2837	-0.27

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6062	2.02**
α ARCH Response to squared shocks	0.1760	5.40***
β GARCH Volatility persistence	0.6924	14.44***

γ₁	-1.5072	-0.55
γ₂	-1.9860	-0.44
γ₃	7.3753	2.32**
γ₄	-5.5095	-2.77***
γ₅	2.5719	2.04**
γ₆	-2.1254	-1.84*
γ₇	1.9470	1.94*
γ₈	-1.9877	-2.18**
γ₉	2.1257	2.16**
γ₁₀	-0.2837	-0.27

V-Lab

Isrotel Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Isrotel Ltd Analyses