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	0.2687	1.58
αARCH	0.3454	3.36***
βGARCH	0.0000	0.00

γ₁	263.4836	3.08***
γ₂	-558.4512	-5.67***
γ₃	462.4328	4.70***
γ₄	-276.3108	-2.57**
γ₅	297.3972	2.62***
γ₆	-388.3889	-3.17***
γ₇	328.3436	2.70***
γ₈	-147.7122	-1.38
γ₉	-52.2015	-0.43
γ₁₀	255.3469	2.08**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2687	1.58
α ARCH Response to squared shocks	0.3454	3.36***
β GARCH Volatility persistence	0.0000	0.00

γ₁	263.4836	3.08***
γ₂	-558.4512	-5.67***
γ₃	462.4328	4.70***
γ₄	-276.3108	-2.57**
γ₅	297.3972	2.62***
γ₆	-388.3889	-3.17***
γ₇	328.3436	2.70***
γ₈	-147.7122	-1.38
γ₉	-52.2015	-0.43
γ₁₀	255.3469	2.08**

V-Lab

IX Acquisition Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other IX Acquisition Corp Analyses