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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Param	Value	t-stat
ωconst	1.9231	3.59***
αARCH	0.3411	15.11***
βGARCH	0.6580	29.91***

γ₁	-1.2262	-0.67
γ₂	1.0434	0.44
γ₃	1.1876	1.38
γ₄	-2.6353	-5.63***
γ₅	0.3582	0.26
γ₆	6.9549	1.67*
γ₇	-10.2571	-2.20**
γ₈	7.0953	3.13***
γ₉	-10.5427	-1.96*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9231	3.59***
α ARCH Response to squared shocks	0.3411	15.11***
β GARCH Volatility persistence	0.6580	29.91***

γ₁	-1.2262	-0.67
γ₂	1.0434	0.44
γ₃	1.1876	1.38
γ₄	-2.6353	-5.63***
γ₅	0.3582	0.26
γ₆	6.9549	1.67*
γ₇	-10.2571	-2.20**
γ₈	7.0953	3.13***
γ₉	-10.5427	-1.96*

V-Lab

National Tubes Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other National Tubes Ltd Analyses