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	0.9303	5.38***
αARCH	0.2286	4.39***
βGARCH	0.6363	9.21***

γ₁	3.1241	1.72*
γ₂	-5.3952	-1.70*
γ₃	-4.5656	-1.39
γ₄	16.9337	4.82***
γ₅	-16.0409	-4.33***
γ₆	7.5668	2.34**
γ₇	4.4465	1.08

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9303	5.38***
α ARCH Response to squared shocks	0.2286	4.39***
β GARCH Volatility persistence	0.6363	9.21***

γ₁	3.1241	1.72*
γ₂	-5.3952	-1.70*
γ₃	-4.5656	-1.39
γ₄	16.9337	4.82***
γ₅	-16.0409	-4.33***
γ₆	7.5668	2.34**
γ₇	4.4465	1.08

V-Lab

Le Merite Exports Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Le Merite Exports Limited Analyses