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	1.9507	3.51***
αARCH	0.1668	6.40***
βGARCH	0.7863	27.00***

γ₁	-0.1316	-2.46**
γ₂	0.2247	3.19***
γ₃	-0.1643	-2.67***
γ₄	0.1437	1.94*
γ₅	-0.0861	-1.48
γ₆	-0.0931	-1.69*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9507	3.51***
α ARCH Response to squared shocks	0.1668	6.40***
β GARCH Volatility persistence	0.7863	27.00***

γ₁	-0.1316	-2.46**
γ₂	0.2247	3.19***
γ₃	-0.1643	-2.67***
γ₄	0.1437	1.94*
γ₅	-0.0861	-1.48
γ₆	-0.0931	-1.69*

V-Lab

Sia Engineering Co Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sia Engineering Co Ltd Analyses