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	0.9339	4.15***
αARCH	0.1884	6.05***
βGARCH	0.7738	25.05***

γ₁	1.0694	3.68***
γ₂	-2.3493	-5.46***
γ₃	1.6226	4.81***
γ₄	0.3178	0.74
γ₅	-1.1883	-3.35***
γ₆	0.7522	2.90***
γ₇	-0.9940	-4.00***
γ₈	2.0797	6.65***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9339	4.15***
α ARCH Response to squared shocks	0.1884	6.05***
β GARCH Volatility persistence	0.7738	25.05***

γ₁	1.0694	3.68***
γ₂	-2.3493	-5.46***
γ₃	1.6226	4.81***
γ₄	0.3178	0.74
γ₅	-1.1883	-3.35***
γ₆	0.7522	2.90***
γ₇	-0.9940	-4.00***
γ₈	2.0797	6.65***

V-Lab

KSB Pumps Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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