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	1.2785	3.30***
αARCH	0.1897	5.93***
βGARCH	0.7606	24.32***

γ₁	0.2911	1.46
γ₂	-0.2725	-0.89
γ₃	-0.1517	-0.67
γ₄	0.2345	1.18
γ₅	-0.2132	-1.05
γ₆	0.5613	1.78*
γ₇	-1.2445	-2.86***
γ₈	2.1716	3.31***
γ₉	-2.6628	-2.94***
γ₁₀	2.1748	1.91*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2785	3.30***
α ARCH Response to squared shocks	0.1897	5.93***
β GARCH Volatility persistence	0.7606	24.32***

γ₁	0.2911	1.46
γ₂	-0.2725	-0.89
γ₃	-0.1517	-0.67
γ₄	0.2345	1.18
γ₅	-0.2132	-1.05
γ₆	0.5613	1.78*
γ₇	-1.2445	-2.86***
γ₈	2.1716	3.31***
γ₉	-2.6628	-2.94***
γ₁₀	2.1748	1.91*

V-Lab

NAOS Small Cap Opportunities C Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other NAOS Small Cap Opportunities C Analyses