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	1.1135	4.47***
αARCH	0.5882	3.02***
βGARCH	0.0000	0.00

γ₁	-1.4140	-0.65
γ₂	1.0761	0.31
γ₃	-0.6083	-0.27
γ₄	3.4477	2.00**
γ₅	-17.8960	-6.32***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1135	4.47***
α ARCH Response to squared shocks	0.5882	3.02***
β GARCH Volatility persistence	0.0000	0.00

γ₁	-1.4140	-0.65
γ₂	1.0761	0.31
γ₃	-0.6083	-0.27
γ₄	3.4477	2.00**
γ₅	-17.8960	-6.32***

V-Lab

Reway Group S P A Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Reway Group S P A Analyses