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	0.6022	2.09**
αARCH	0.2010	7.98***
βGARCH	0.7945	34.87***

γ₁	-0.7490	-4.59***
γ₂	0.9243	4.41***
γ₃	-0.0537	-0.49
γ₄	-0.2338	-2.75***
γ₅	0.1780	2.02**
γ₆	-0.0617	-0.65
γ₇	0.1247	1.31
γ₈	-0.2263	-1.82*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6022	2.09**
α ARCH Response to squared shocks	0.2010	7.98***
β GARCH Volatility persistence	0.7945	34.87***

γ₁	-0.7490	-4.59***
γ₂	0.9243	4.41***
γ₃	-0.0537	-0.49
γ₄	-0.2338	-2.75***
γ₅	0.1780	2.02**
γ₆	-0.0617	-0.65
γ₇	0.1247	1.31
γ₈	-0.2263	-1.82*

V-Lab

Italian-Thai Development PCL Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Italian-Thai Development PCL Analyses