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	1.3541	3.57***
α ARCH Response to squared shocks	0.1670	4.09***
β GARCH Volatility persistence	0.7168	12.01***

γ₁	1.6537	2.00**
γ₂	-1.8739	-1.47
γ₃	0.4135	0.52
γ₄	-0.0797	-0.10
γ₅	-0.9442	-1.39
γ₆	1.7378	2.33**
γ₇	-1.2380	-1.40
γ₈	1.7235	1.22
γ₉	-2.7855	-0.98
γ₁₀	-0.7645	-0.16

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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