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	2.7195	3.35***
αARCH	0.2604	10.76***
βGARCH	0.7366	31.16***

γ₁	-0.1777	-5.24***
γ₂	0.2772	5.46***
γ₃	-0.1001	-2.51**
γ₄	-0.0393	-0.98
γ₅	-0.0117	-0.18

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.7195	3.35***
α ARCH Response to squared shocks	0.2604	10.76***
β GARCH Volatility persistence	0.7366	31.16***

γ₁	-0.1777	-5.24***
γ₂	0.2772	5.46***
γ₃	-0.1001	-2.51**
γ₄	-0.0393	-0.98
γ₅	-0.0117	-0.18

V-Lab

Misr Chemical Industries Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Misr Chemical Industries Analyses