How volatility evolves over time

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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	1.9271	5.19***
αARCH	0.1171	12.70***
βGARCH	0.8498	86.14***

γ₁	-0.0843	-2.79***
γ₂	0.1597	3.57***
γ₃	-0.2213	-6.52***
γ₄	0.3014	9.56***
γ₅	-0.2258	-9.47***
γ₆	0.1118	5.33***
γ₇	-0.0418	-1.81*
γ₈	-0.0152	-0.44

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9271	5.19***
α ARCH Response to squared shocks	0.1171	12.70***
β GARCH Volatility persistence	0.8498	86.14***

γ₁	-0.0843	-2.79***
γ₂	0.1597	3.57***
γ₃	-0.2213	-6.52***
γ₄	0.3014	9.56***
γ₅	-0.2258	-9.47***
γ₆	0.1118	5.33***
γ₇	-0.0418	-1.81*
γ₈	-0.0152	-0.44

V-Lab

Wendel SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Wendel SA Analyses