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	0.8267	2.37**
αARCH	0.2958	5.57***
βGARCH	0.6071	9.96***

γ₁	-4.5144	-2.86***
γ₂	7.7796	3.63***
γ₃	-7.4700	-5.02***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8267	2.37**
α ARCH Response to squared shocks	0.2958	5.57***
β GARCH Volatility persistence	0.6071	9.96***

γ₁	-4.5144	-2.86***
γ₂	7.7796	3.63***
γ₃	-7.4700	-5.02***

V-Lab

Karnika Industries Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Karnika Industries Ltd Analyses