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	5.0000	0.07
α ARCH Response to squared shocks	0.0437	1.04
β GARCH Volatility persistence	0.9181	22.88***
γ leverage Additional response to negative shocks	0.0764	0.38

V-Lab

Nrc Group Asa Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nrc Group Asa Analyses