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	1.2634	5.02***
αARCH	0.3216	3.61***
βGARCH	0.3315	2.17**

γ₁	32.7444	5.83***
γ₂	-68.0050	-7.69***
γ₃	77.8033	6.67***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2634	5.02***
α ARCH Response to squared shocks	0.3216	3.61***
β GARCH Volatility persistence	0.3315	2.17**

γ₁	32.7444	5.83***
γ₂	-68.0050	-7.69***
γ₃	77.8033	6.67***

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Ryojbaba Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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