How volatility evolves over time

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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	0.7452	5.55***
αARCH	0.0000	0.00
βGARCH	0.9996	137.31***

γ₁	-6.6241	-2.29**
γ₂	9.1112	2.75***
γ₃	-7.3449	-3.13***
γ₄	8.4870	3.45***
γ₅	-1.6290	-0.89
γ₆	-2.4855	-1.41
γ₇	-0.2919	-0.16
γ₈	-0.4811	-0.25
γ₉	0.2751	0.14
γ₁₀	6.0548	2.33**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7452	5.55***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9996	137.31***

γ₁	-6.6241	-2.29**
γ₂	9.1112	2.75***
γ₃	-7.3449	-3.13***
γ₄	8.4870	3.45***
γ₅	-1.6290	-0.89
γ₆	-2.4855	-1.41
γ₇	-0.2919	-0.16
γ₈	-0.4811	-0.25
γ₉	0.2751	0.14
γ₁₀	6.0548	2.33**

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Nodestream Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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