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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Parameter	Value	t-statistic
ω const Unconditional variance weight	13.4018	4.68***
α ARCH Response to squared shocks	0.0846	8.15***
β GARCH Volatility persistence	0.9112	95.17***

γ₁	0.6154	4.25***
γ₂	-0.8955	-4.68***
γ₃	0.4331	5.40***
γ₄	-0.2242	-3.26***
γ₅	-0.0024	-0.04
γ₆	0.1612	2.12**
γ₇	-0.1952	-1.65*

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Pro-Dex Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Pro-Dex Inc Analyses