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	2.4288	4.27***
αARCH	0.0543	7.61***
βGARCH	0.9404	114.73***

γ₁	-0.0345	-4.33***
γ₂	0.0676	5.21***
γ₃	-0.0448	-4.58***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.4288	4.27***
α ARCH Response to squared shocks	0.0543	7.61***
β GARCH Volatility persistence	0.9404	114.73***

γ₁	-0.0345	-4.33***
γ₂	0.0676	5.21***
γ₃	-0.0448	-4.58***

V-Lab

Klepierre Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Klepierre Analyses