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

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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	1.3185	1.70*
αARCH	0.1075	3.61***
βGARCH	0.8883	28.56***

γ₁	-3.2798	-2.77***
γ₂	3.8760	2.10**
γ₃	-0.7143	-0.42
γ₄	1.4086	0.62
γ₅	-5.2950	-2.01**
γ₆	8.8653	3.74***
γ₇	-6.9075	-4.10***
γ₈	2.5884	2.00**
γ₉	-0.5220	-0.44

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3185	1.70*
α ARCH Response to squared shocks	0.1075	3.61***
β GARCH Volatility persistence	0.8883	28.56***

γ₁	-3.2798	-2.77***
γ₂	3.8760	2.10**
γ₃	-0.7143	-0.42
γ₄	1.4086	0.62
γ₅	-5.2950	-2.01**
γ₆	8.8653	3.74***
γ₇	-6.9075	-4.10***
γ₈	2.5884	2.00**
γ₉	-0.5220	-0.44

V-Lab

Masterplast Nyrt Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Masterplast Nyrt Analyses