How volatility evolves over time

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{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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8818	6.45***
α ARCH Response to squared shocks	0.2024	0.72
β GARCH Volatility persistence	0.7976	2.84***

V-Lab

Lazurde Comp For Jewelry Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Lazurde Comp For Jewelry Analyses