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	1.4962	3.80***
αARCH	0.1355	5.00***
βGARCH	0.7964	29.91***

γ₁	-0.0096	-0.21
γ₂	-0.1165	-1.71*
γ₃	0.2468	5.23***
γ₄	-0.1690	-3.85***
γ₅	0.0658	2.00**
γ₆	-0.0193	-0.76
γ₇	0.0264	1.08
γ₈	-0.0845	-2.47**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4962	3.80***
α ARCH Response to squared shocks	0.1355	5.00***
β GARCH Volatility persistence	0.7964	29.91***

γ₁	-0.0096	-0.21
γ₂	-0.1165	-1.71*
γ₃	0.2468	5.23***
γ₄	-0.1690	-3.85***
γ₅	0.0658	2.00**
γ₆	-0.0193	-0.76
γ₇	0.0264	1.08
γ₈	-0.0845	-2.47**

V-Lab

Port of Tauranga Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Port of Tauranga Ltd Analyses