How volatility evolves over time

How illiquidity evolves over time

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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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Param	Value	t-stat
ωconst	1.4043	7.95***
αARCH	0.0702	8.90***
βGARCH	0.9205	112.37***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4043	7.95***
α ARCH Response to squared shocks	0.0702	8.90***
β GARCH Volatility persistence	0.9205	112.37***

V-Lab

PRA Group Inc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other PRA Group Inc Analyses