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	0.8200	1.22
αARCH	0.0227	2.50**
βGARCH	0.9517	154.65***
γleverage	0.0464	2.52**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8200	1.22
α ARCH Response to squared shocks	0.0227	2.50**
β GARCH Volatility persistence	0.9517	154.65***
γ leverage Additional response to negative shocks	0.0464	2.52**

V-Lab

News Corp Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other News Corp Analyses