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	1.0688	7.35***
αARCH	0.0926	15.53***
βGARCH	0.9015	141.99***

γ₁	-0.0102	-0.27
γ₂	0.0225	0.37
γ₃	-0.0136	-0.28
γ₄	-0.0698	-1.31
γ₅	0.1324	2.26**
γ₆	-0.0852	-1.26

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0688	7.35***
α ARCH Response to squared shocks	0.0926	15.53***
β GARCH Volatility persistence	0.9015	141.99***

γ₁	-0.0102	-0.27
γ₂	0.0225	0.37
γ₃	-0.0136	-0.28
γ₄	-0.0698	-1.31
γ₅	0.1324	2.26**
γ₆	-0.0852	-1.26

V-Lab

NVIDIA Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other NVIDIA Corp Analyses