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	1.3905	10.53***
αARCH	0.0674	12.73***
βGARCH	0.9225	148.91***

γ₁	-0.0795	-8.23***
γ₂	0.1235	7.89***
γ₃	-0.0409	-3.68***
γ₄	-0.0306	-2.22**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3905	10.53***
α ARCH Response to squared shocks	0.0674	12.73***
β GARCH Volatility persistence	0.9225	148.91***

γ₁	-0.0795	-8.23***
γ₂	0.1235	7.89***
γ₃	-0.0409	-3.68***
γ₄	-0.0306	-2.22**

V-Lab

Ralph Lauren Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Ralph Lauren Corp Analyses