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	2.5504	3.71***
αARCH	0.1814	2.28**
βGARCH	0.6099	3.76***

γ₁	-0.7332	-1.58
γ₂	1.6532	2.17**

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.5504	3.71***
α ARCH Response to squared shocks	0.1814	2.28**
β GARCH Volatility persistence	0.6099	3.76***

γ₁	-0.7332	-1.58
γ₂	1.6532	2.17**

V-Lab

Tasmea Limited Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tasmea Limited Analyses