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	0.3111	1.81*
αARCH	0.3439	5.38***
βGARCH	0.5771	12.07***

γ₁	-7.9911	-1.27
γ₂	10.7484	1.09
γ₃	1.7110	0.23
γ₄	-15.0030	-2.83***
γ₅	22.2992	6.22***
γ₆	-17.1077	-3.79***
γ₇	5.1162	1.11
γ₈	-5.1611	-1.08
γ₉	17.3669	3.75***
γ₁₀	-21.1797	-5.26***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3111	1.81*
α ARCH Response to squared shocks	0.3439	5.38***
β GARCH Volatility persistence	0.5771	12.07***

γ₁	-7.9911	-1.27
γ₂	10.7484	1.09
γ₃	1.7110	0.23
γ₄	-15.0030	-2.83***
γ₅	22.2992	6.22***
γ₆	-17.1077	-3.79***
γ₇	5.1162	1.11
γ₈	-5.1611	-1.08
γ₉	17.3669	3.75***
γ₁₀	-21.1797	-5.26***

V-Lab

Quang NAM Mineral Industry Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Quang NAM Mineral Industry Analyses