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	0.4133	4.22***
αARCH	0.1077	1.88*
βGARCH	0.2795	1.49

γ₁	-1.0463	-1.67*
γ₂	1.4569	1.55
γ₃	-0.7970	-1.30
γ₄	0.7353	1.49
γ₅	-1.1282	-2.13**
γ₆	2.9461	3.38***
γ₇	-4.5410	-3.60***
γ₈	2.9965	2.22**
γ₉	-0.5013	-0.34

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4133	4.22***
α ARCH Response to squared shocks	0.1077	1.88*
β GARCH Volatility persistence	0.2795	1.49

γ₁	-1.0463	-1.67*
γ₂	1.4569	1.55
γ₃	-0.7970	-1.30
γ₄	0.7353	1.49
γ₅	-1.1282	-2.13**
γ₆	2.9461	3.38***
γ₇	-4.5410	-3.60***
γ₈	2.9965	2.22**
γ₉	-0.5013	-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