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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Param	Value	t-stat
ωconst	1.0422	0.05
αARCH	0.3944	0.00
βGARCH	0.6056	0.01

γ₁	-14.3337	0.00
γ₂	9.7969	0.00
γ₃	13.2709	0.01
γ₄	-24.0941	-0.11
γ₅	48.2614	0.06

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0422	0.05
α ARCH Response to squared shocks	0.3944	0.00
β GARCH Volatility persistence	0.6056	0.01

γ₁	-14.3337	0.00
γ₂	9.7969	0.00
γ₃	13.2709	0.01
γ₄	-24.0941	-0.11
γ₅	48.2614	0.06

V-Lab

Rhetan Tmt Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Rhetan Tmt Ltd Analyses