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	1.0940	4.90***
αARCH	0.2563	2.97***
βGARCH	0.4601	2.27**

γ₁	24.7501	4.53***
γ₂	-55.1848	-6.79***
γ₃	76.7756	7.50***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0940	4.90***
α ARCH Response to squared shocks	0.2563	2.97***
β GARCH Volatility persistence	0.4601	2.27**

γ₁	24.7501	4.53***
γ₂	-55.1848	-6.79***
γ₃	76.7756	7.50***

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Ryojbaba Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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