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	0.7897	3.28***
αARCH	0.4885	0.80
βGARCH	0.5115	0.84

γ₁	-34.9899	-1.11
γ₂	50.0108	1.32

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7897	3.28***
α ARCH Response to squared shocks	0.4885	0.80
β GARCH Volatility persistence	0.5115	0.84

γ₁	-34.9899	-1.11
γ₂	50.0108	1.32

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Ryojbaba Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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