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	0.6271	4.93***
αARCH	0.2853	1.63
βGARCH	0.0000	0.00

γ₁	88.3240	3.91***
γ₂	-193.7755	-5.84***
γ₃	170.8257	4.16***
γ₄	-107.3978	-1.80*
γ₅	46.9511	0.63

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6271	4.93***
α ARCH Response to squared shocks	0.2853	1.63
β GARCH Volatility persistence	0.0000	0.00

γ₁	88.3240	3.91***
γ₂	-193.7755	-5.84***
γ₃	170.8257	4.16***
γ₄	-107.3978	-1.80*
γ₅	46.9511	0.63

V-Lab

Systematic Industries Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Systematic Industries Ltd Analyses