How volatility evolves over time

How illiquidity evolves over time

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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	1.0643	0.97
αARCH	0.1548	0.10
βGARCH	0.8452	0.57

γ₁	-0.0288	-0.12
γ₂	0.0572	0.17

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0643	0.97
α ARCH Response to squared shocks	0.1548	0.10
β GARCH Volatility persistence	0.8452	0.57

γ₁	-0.0288	-0.12
γ₂	0.0572	0.17

V-Lab

Trf Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Trf Ltd Analyses