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	2.2327	3.03***
αARCH	0.2887	5.11***
βGARCH	0.7107	12.62***

γ₁	-0.3164	-2.28**
γ₂	0.9707	2.77***
γ₃	-2.0163	-3.29***
γ₄	3.1956	3.47***
γ₅	-3.2886	-3.57***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2327	3.03***
α ARCH Response to squared shocks	0.2887	5.11***
β GARCH Volatility persistence	0.7107	12.62***

γ₁	-0.3164	-2.28**
γ₂	0.9707	2.77***
γ₃	-2.0163	-3.29***
γ₄	3.1956	3.47***
γ₅	-3.2886	-3.57***

V-Lab

Shree Rama Multi-Tech Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Shree Rama Multi-Tech Ltd Analyses