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	4.8681	2.22**
αARCH	0.3508	2.91***
βGARCH	0.6425	5.51***

γ₁	-24.9329	-1.02
γ₂	36.9435	1.19
γ₃	-15.8527	-1.28
γ₄	12.5751	0.97
γ₅	-23.8918	-1.57
γ₆	14.3421	1.24
γ₇	22.3827	2.23**
γ₈	-51.2302	-4.77***
γ₉	66.0748	8.12***
γ₁₀	-71.2663	-5.73***

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.8681	2.22**
α ARCH Response to squared shocks	0.3508	2.91***
β GARCH Volatility persistence	0.6425	5.51***

γ₁	-24.9329	-1.02
γ₂	36.9435	1.19
γ₃	-15.8527	-1.28
γ₄	12.5751	0.97
γ₅	-23.8918	-1.57
γ₆	14.3421	1.24
γ₇	22.3827	2.23**
γ₈	-51.2302	-4.77***
γ₉	66.0748	8.12***
γ₁₀	-71.2663	-5.73***

V-Lab

NICO Holdings Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other NICO Holdings Ltd Analyses