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	1.0353	6.05***
αARCH	0.0909	12.34***
βGARCH	0.8997	114.80***

γ₁	-0.0155	-0.74
γ₂	-0.0041	-0.12
γ₃	0.0253	0.92
γ₄	-0.0190	-0.58

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0353	6.05***
α ARCH Response to squared shocks	0.0909	12.34***
β GARCH Volatility persistence	0.8997	114.80***

γ₁	-0.0155	-0.74
γ₂	-0.0041	-0.12
γ₃	0.0253	0.92
γ₄	-0.0190	-0.58

V-Lab

Monolithic Power Systems Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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