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	1.3350	1.74*
αARCH	0.1076	3.67***
βGARCH	0.8883	29.01***

γ₁	-3.2414	-2.82***
γ₂	3.8210	2.14**
γ₃	-0.6633	-0.40
γ₄	1.3173	0.59
γ₅	-5.3398	-1.97**
γ₆	9.2339	3.57***
γ₇	-7.2863	-3.77***
γ₈	2.6961	1.73*
γ₉	-0.6484	-0.51

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3350	1.74*
α ARCH Response to squared shocks	0.1076	3.67***
β GARCH Volatility persistence	0.8883	29.01***

γ₁	-3.2414	-2.82***
γ₂	3.8210	2.14**
γ₃	-0.6633	-0.40
γ₄	1.3173	0.59
γ₅	-5.3398	-1.97**
γ₆	9.2339	3.57***
γ₇	-7.2863	-3.77***
γ₈	2.6961	1.73*
γ₉	-0.6484	-0.51

V-Lab

Masterplast Nyrt Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Masterplast Nyrt Analyses