How volatility evolves over time

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{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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Param	Value	t-stat
ωconst	0.7413	5.55***
αARCH	0.0000	0.00
βGARCH	0.9996	139.55***

γ₁	-6.7358	-2.24**
γ₂	9.2785	2.71***
γ₃	-7.4587	-3.18***
γ₄	8.5294	3.50***
γ₅	-1.6280	-0.92
γ₆	-2.3225	-1.38
γ₇	-0.5726	-0.32
γ₈	-0.1709	-0.09
γ₉	-0.2268	-0.11
γ₁₀	6.7003	2.28**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7413	5.55***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9996	139.55***

γ₁	-6.7358	-2.24**
γ₂	9.2785	2.71***
γ₃	-7.4587	-3.18***
γ₄	8.5294	3.50***
γ₅	-1.6280	-0.92
γ₆	-2.3225	-1.38
γ₇	-0.5726	-0.32
γ₈	-0.1709	-0.09
γ₉	-0.2268	-0.11
γ₁₀	6.7003	2.28**

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Nodestream Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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