How volatility evolves over time

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{name} Model Equation

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	0.1253	1.75*
αARCH	0.4168	3.19***
βGARCH	0.0000	0.00

γ₁	1.6113	0.60
γ₂	-2.5322	-0.66
γ₃	1.5083	0.51
γ₄	-2.9509	-0.99
γ₅	3.0714	1.24
γ₆	0.0434	0.02
γ₇	-6.0632	-2.37**
γ₈	15.2778	4.96***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1253	1.75*
α ARCH Response to squared shocks	0.4168	3.19***
β GARCH Volatility persistence	0.0000	0.00

γ₁	1.6113	0.60
γ₂	-2.5322	-0.66
γ₃	1.5083	0.51
γ₄	-2.9509	-0.99
γ₅	3.0714	1.24
γ₆	0.0434	0.02
γ₇	-6.0632	-2.37**
γ₈	15.2778	4.96***

V-Lab

Oragroup SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Oragroup SA Analyses