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	3.5403	8.21***
αARCH	0.0922	12.04***
βGARCH	0.8776	79.51***

γ₁	-0.0016	-0.39
γ₂	0.0188	3.04***
γ₃	-0.0342	-6.95***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.5403	8.21***
α ARCH Response to squared shocks	0.0922	12.04***
β GARCH Volatility persistence	0.8776	79.51***

γ₁	-0.0016	-0.39
γ₂	0.0188	3.04***
γ₃	-0.0342	-6.95***

V-Lab

Luzerner Kantonalbank AG Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Luzerner Kantonalbank AG Analyses