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	0.7856	0.11
αARCH	0.0000	0.00
βGARCH	1.0000	2.27**

γ₁	-2.7910	-0.01
γ₂	3.7858	0.01
γ₃	-4.4901	-0.07
γ₄	12.5444	0.19
γ₅	-22.1023	-0.83
γ₆	18.2452	1.08
γ₇	-5.8103	-0.81
γ₈	4.7196	1.34
γ₉	-10.5438	-2.16**
γ₁₀	9.7231	1.10

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7856	0.11
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	1.0000	2.27**

γ₁	-2.7910	-0.01
γ₂	3.7858	0.01
γ₃	-4.4901	-0.07
γ₄	12.5444	0.19
γ₅	-22.1023	-0.83
γ₆	18.2452	1.08
γ₇	-5.8103	-0.81
γ₈	4.7196	1.34
γ₉	-10.5438	-2.16**
γ₁₀	9.7231	1.10

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Pacific Lime and Cement Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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