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	1.3637	3.07***
αARCH	0.1877	6.09***
βGARCH	0.7739	26.15***

γ₁	0.2836	1.33
γ₂	-0.2562	-0.78
γ₃	-0.1724	-0.70
γ₄	0.2628	1.20
γ₅	-0.2655	-1.11
γ₆	0.6600	1.69*
γ₇	-1.4530	-2.64***
γ₈	2.5399	2.94***
γ₉	-3.0141	-2.63***
γ₁₀	2.3265	1.72*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3637	3.07***
α ARCH Response to squared shocks	0.1877	6.09***
β GARCH Volatility persistence	0.7739	26.15***

γ₁	0.2836	1.33
γ₂	-0.2562	-0.78
γ₃	-0.1724	-0.70
γ₄	0.2628	1.20
γ₅	-0.2655	-1.11
γ₆	0.6600	1.69*
γ₇	-1.4530	-2.64***
γ₈	2.5399	2.94***
γ₉	-3.0141	-2.63***
γ₁₀	2.3265	1.72*

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