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	1.6053	3.70***
αARCH	0.1979	3.78***
βGARCH	0.6726	11.91***

γ₁	2.0453	3.09***
γ₂	-2.8347	-2.67***
γ₃	1.6896	2.30**
γ₄	-1.8023	-2.35**
γ₅	1.2614	1.58
γ₆	-0.3482	-0.41
γ₇	1.0557	0.72
γ₈	-1.9774	-0.78
γ₉	-0.8652	-0.25

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6053	3.70***
α ARCH Response to squared shocks	0.1979	3.78***
β GARCH Volatility persistence	0.6726	11.91***

γ₁	2.0453	3.09***
γ₂	-2.8347	-2.67***
γ₃	1.6896	2.30**
γ₄	-1.8023	-2.35**
γ₅	1.2614	1.58
γ₆	-0.3482	-0.41
γ₇	1.0557	0.72
γ₈	-1.9774	-0.78
γ₉	-0.8652	-0.25

V-Lab

Naos Emerging Opportunities Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Naos Emerging Opportunities Co Ltd Analyses