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	0.8569
αARCH	0.2327
βGARCH	0.7673

γ₁	-1.0323
γ₂	1.0072
γ₃	0.3242
γ₄	-0.3858
γ₅	-0.2139

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8569
α ARCH Response to squared shocks	0.2327
β GARCH Volatility persistence	0.7673

γ₁	-1.0323
γ₂	1.0072
γ₃	0.3242
γ₄	-0.3858
γ₅	-0.2139

V-Lab

Sumeet Industries Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sumeet Industries Ltd Analyses