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	1.1665	4.57***
αARCH	0.1324	12.09***
βGARCH	0.8585	78.72***

γ₁	-0.1268	-6.76***
γ₂	0.2433	7.94***
γ₃	-0.3067	-9.79***
γ₄	0.4360	11.12***
γ₅	-0.5583	-11.08***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1665	4.57***
α ARCH Response to squared shocks	0.1324	12.09***
β GARCH Volatility persistence	0.8585	78.72***

γ₁	-0.1268	-6.76***
γ₂	0.2433	7.94***
γ₃	-0.3067	-9.79***
γ₄	0.4360	11.12***
γ₅	-0.5583	-11.08***

V-Lab

Strattec Security Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Strattec Security Corp Analyses