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
αARCH	0.1958	8.81***
βGARCH	0.8132	48.36***
γleverage	-0.0358	-1.63
λ₁tau intercept	12,937.3757

Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.1958	8.81***
β GARCH Volatility persistence	0.8132	48.36***
γ leverage Additional response to negative shocks	-0.0358	-1.63
λ₁ tau intercept Baseline long-term coefficient	12,937.3757

V-Lab

Sudarshan Pharma Industries ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sudarshan Pharma Industries Analyses