How volatility evolves over time

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{name} Model Equation

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How returns affect tomorrow's illiquidity

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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	0.7627	1.80*
αARCH	0.3333	4.17***
βGARCH	0.6291	10.53***

γ₁	-3.0474	-3.83***
γ₂	3.8803	3.45***
γ₃	-0.6862	-1.19
γ₄	0.5672	0.88
γ₅	-1.2695	-1.56
γ₆	-0.7304	-1.14
γ₇	3.3918	6.07***
γ₈	-3.2216	-4.95***
γ₉	0.4989	0.57
γ₁₀	2.6741	2.53**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7627	1.80*
α ARCH Response to squared shocks	0.3333	4.17***
β GARCH Volatility persistence	0.6291	10.53***

γ₁	-3.0474	-3.83***
γ₂	3.8803	3.45***
γ₃	-0.6862	-1.19
γ₄	0.5672	0.88
γ₅	-1.2695	-1.56
γ₆	-0.7304	-1.14
γ₇	3.3918	6.07***
γ₈	-3.2216	-4.95***
γ₉	0.4989	0.57
γ₁₀	2.6741	2.53**

V-Lab

Teejay Lanka Plc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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