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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0131	2.63***
α ARCH Response to squared shocks	0.3825	3.26***
β GARCH Volatility persistence	0.6165	5.29***

γ₁	0.4335	0.44
γ₂	-1.2388	-0.86
γ₃	1.1143	1.25
γ₄	-11.2622	-1.17
γ₅	14.7845	1.07
γ₆	10.3696	0.54
γ₇	-6.0570	-0.18
γ₈	-33.5901	-1.40
γ₉	42.9502	2.12**
γ₁₀	-27.4270	-2.21**

V-Lab

Miracle Industries Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Miracle Industries Analyses