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	1.9873	2.74***
αARCH	0.2412	7.25***
βGARCH	0.7314	16.80***

γ₁	1.5960	3.91***
γ₂	-4.4062	-7.16***
γ₃	4.9447	11.05***
γ₄	-2.5505	-6.58***
γ₅	0.4203	0.95

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9873	2.74***
α ARCH Response to squared shocks	0.2412	7.25***
β GARCH Volatility persistence	0.7314	16.80***

γ₁	1.5960	3.91***
γ₂	-4.4062	-7.16***
γ₃	4.9447	11.05***
γ₄	-2.5505	-6.58***
γ₅	0.4203	0.95

V-Lab

Skan Group Ag Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Skan Group Ag Analyses