How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.5632	3.88***
αARCH	0.1779	4.00***
βGARCH	0.6892	12.02***

γ₁	2.0221	3.21***
γ₂	-2.8061	-2.77***
γ₃	1.6724	2.39**
γ₄	-1.8083	-2.50**
γ₅	1.3302	1.77*
γ₆	-0.3929	-0.53
γ₇	1.0165	0.84
γ₈	-2.0750	-0.90
γ₉	-0.7981	-0.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5632	3.88***
α ARCH Response to squared shocks	0.1779	4.00***
β GARCH Volatility persistence	0.6892	12.02***

γ₁	2.0221	3.21***
γ₂	-2.8061	-2.77***
γ₃	1.6724	2.39**
γ₄	-1.8083	-2.50**
γ₅	1.3302	1.77*
γ₆	-0.3929	-0.53
γ₇	1.0165	0.84
γ₈	-2.0750	-0.90
γ₉	-0.7981	-0.22

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