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	0.4094	4.15***
αARCH	0.1050	2.00**
βGARCH	0.2754	1.50

γ₁	-1.0828	-1.69*
γ₂	1.5183	1.58
γ₃	-0.8618	-1.40
γ₄	0.8606	1.70*
γ₅	-1.3869	-2.49**
γ₆	3.2722	3.66***
γ₇	-4.5792	-3.72***
γ₈	2.5269	2.12**
γ₉	0.4369	0.34

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4094	4.15***
α ARCH Response to squared shocks	0.1050	2.00**
β GARCH Volatility persistence	0.2754	1.50

γ₁	-1.0828	-1.69*
γ₂	1.5183	1.58
γ₃	-0.8618	-1.40
γ₄	0.8606	1.70*
γ₅	-1.3869	-2.49**
γ₆	3.2722	3.66***
γ₇	-4.5792	-3.72***
γ₈	2.5269	2.12**
γ₉	0.4369	0.34

V-Lab

Sandon Capital Investments Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sandon Capital Investments Ltd Analyses