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	2.6394	0.00
αARCH	0.6599	0.00
βGARCH	0.3401	0.00

γ₁	-46.2510	-0.08
γ₂	49.1354	0.08
γ₃	-7.2841	-0.70
γ₄	18.3716	0.03
γ₅	-28.6790	-0.02

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.6394	0.00
α ARCH Response to squared shocks	0.6599	0.00
β GARCH Volatility persistence	0.3401	0.00

γ₁	-46.2510	-0.08
γ₂	49.1354	0.08
γ₃	-7.2841	-0.70
γ₄	18.3716	0.03
γ₅	-28.6790	-0.02

V-Lab

Stellant Securities (India) Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Stellant Securities (India) Analyses