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	1.8788	5.95***
αARCH	0.1979	4.93***
βGARCH	0.7064	11.45***

γ₁	-0.9509	-3.37***
γ₂	2.8221	5.10***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8788	5.95***
α ARCH Response to squared shocks	0.1979	4.93***
β GARCH Volatility persistence	0.7064	11.45***

γ₁	-0.9509	-3.37***
γ₂	2.8221	5.10***

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Kandarp Digi Smart BPO Ltd Spline ILLIQ Liquidity Analysis

Date Range:

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