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	2.9520	0.20
α ARCH Response to squared shocks	0.1581	0.09
β GARCH Volatility persistence	0.8419	0.49

γ₁	-0.0573	0.00
γ₂	0.4009	0.02
γ₃	-4.8404	-0.07
γ₄	9.0133	0.07
γ₅	-1.3728	-0.08
γ₆	-6.8829	-0.07
γ₇	3.9758	0.08
γ₈	-0.1886	-0.22
γ₉	-0.3841	-0.19

V-Lab

Nrc Group Asa Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nrc Group Asa Analyses