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	1.7974	3.75***
αARCH	0.0539	7.68***
βGARCH	0.9413	116.93***

γ₁	-0.0679	-2.92***
γ₂	0.0673	1.82*
γ₃	0.0386	1.38
γ₄	-0.0406	-1.89*
γ₅	-0.0039	-0.15

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7974	3.75***
α ARCH Response to squared shocks	0.0539	7.68***
β GARCH Volatility persistence	0.9413	116.93***

γ₁	-0.0679	-2.92***
γ₂	0.0673	1.82*
γ₃	0.0386	1.38
γ₄	-0.0406	-1.89*
γ₅	-0.0039	-0.15

V-Lab

Klepierre Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Klepierre Analyses