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	0.1311	1.77*
αARCH	0.3546	3.23***
βGARCH	0.0000	0.00

γ₁	3.7445	1.07
γ₂	-6.2563	-1.28
γ₃	4.6918	1.51
γ₄	-4.9730	-1.56
γ₅	2.4844	0.62
γ₆	0.8165	0.21
γ₇	0.0837	0.03
γ₈	-6.9958	-2.03**
γ₉	18.7051	4.23***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1311	1.77*
α ARCH Response to squared shocks	0.3546	3.23***
β GARCH Volatility persistence	0.0000	0.00

γ₁	3.7445	1.07
γ₂	-6.2563	-1.28
γ₃	4.6918	1.51
γ₄	-4.9730	-1.56
γ₅	2.4844	0.62
γ₆	0.8165	0.21
γ₇	0.0837	0.03
γ₈	-6.9958	-2.03**
γ₉	18.7051	4.23***

V-Lab

Oragroup SA Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Oragroup SA Analyses