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	0.9956	5.30***
αARCH	0.1981	11.44***
βGARCH	0.7954	44.54***

γ₁	-0.4483	-4.62***
γ₂	0.8129	4.97***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9956	5.30***
α ARCH Response to squared shocks	0.1981	11.44***
β GARCH Volatility persistence	0.7954	44.54***

γ₁	-0.4483	-4.62***
γ₂	0.8129	4.97***

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Sheetal Cool Products Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sheetal Cool Products Ltd Analyses