How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.5828	1.57
αARCH	0.0881	4.87***
βGARCH	0.8383	19.27***

γ₁	1.4417	2.65***
γ₂	-1.5672	-1.85*
γ₃	-0.6016	-0.90
γ₄	1.5949	2.84***
γ₅	-2.3406	-3.95***
γ₆	2.7320	4.01***
γ₇	-1.5116	-2.21**
γ₈	-0.5296	-0.63

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5828	1.57
α ARCH Response to squared shocks	0.0881	4.87***
β GARCH Volatility persistence	0.8383	19.27***

γ₁	1.4417	2.65***
γ₂	-1.5672	-1.85*
γ₃	-0.6016	-0.90
γ₄	1.5949	2.84***
γ₅	-2.3406	-3.95***
γ₆	2.7320	4.01***
γ₇	-1.5116	-2.21**
γ₈	-0.5296	-0.63

V-Lab

Suez Canal Co for Technology Settling Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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