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	1.3817	5.02***
αARCH	0.3819	4.24***
βGARCH	0.2629	2.15**

γ₁	38.9672	6.37***
γ₂	-75.2481	-7.40***
γ₃	65.0711	5.31***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3817	5.02***
α ARCH Response to squared shocks	0.3819	4.24***
β GARCH Volatility persistence	0.2629	2.15**

γ₁	38.9672	6.37***
γ₂	-75.2481	-7.40***
γ₃	65.0711	5.31***

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Ryojbaba Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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